The Stock Price Jump Test And Analysis Of Influence Factors

Nowadays,stock price jump has been the focus point of the financial research.In this paper,variance swap method is applied to 15 years' stock daily return data from 300 constituent stocks in hushen stock market.Besides,we construct the stock equal-weighted quintile portfolios based on four variables:size,bm,mom,illiq.Then we try to find the possible variables related to the stock price jumps.Our results show that price jumps are prevalent in China's stock market at the 1%critical level.In addition,price jumps are more likely to appear in large stocks,while the negative jump returns of small stocks,growth stocks and past winners are substantially higher than large stocks,value stocks and past losers,respectively.What's more,results also show that there are significant reversal effects and liquidity premium in China's stock market,while jumps partially account for the reversal effects.