Systemic Co-jumps In Chinese Stock Market

This paper uses the 5-minute high-frequency data of the HS300 Index from January 4,2011 to May 31,2018 to study the systematic co-jumps in Chinese stock market.We mainly use the test proposed by Caporin et al.(2017)to identify systematic co-cojumps.On this basis,we study the characteristics in Chinese stock and the relationship between co-jumps and stock transaction volume.Then we use a logit model to study the reasons for the systematic co-jumps.After that,we refer to the Fama-French three-factor model and combine the characteristics of China's stock market to construct the market risk factor,market value factor and book value ratio factor and investment portfolio related to these factors,and then test the co-jumps among factors and portfolio.The empirical results show that most of the systematic co-jumps in Chinese stock market occurred within 5 minutes after the stock market opened.The main reason for this is that the big news shocks in China's stock market generally occurred on the previous day's close to the opening of the day.Stocks with different trading volumes have significant differences in testing the systematic co-jumps.Those stocks with larger trading volume are better for the test of the systematic co-jumps.In addition to the big news issued by the China Securities Regulatory Commission or other institutions will lead to systematic co-cojumps,the huge changes in the international stock markets,especially the US stocks,will also cause systematic co-jumps.In addition,the stock market crash in the second half of 2015 also greatly increased the probability of systematic co-jumping.During this period,the systematic systematic co-jumps showed obvious accumulation.Longing a portfolio construted by stocks in the Chinese market can not eliminate the co-jumps between the portfolio and the market.This is mainly because the systemic risk in the market is too high,which leads to a strong correlation between portfolios and market.The SMB factor and HML factor constructed by the combination of long and short,the correlation between the two and the market is relatively low,effectively eliminating most of the co-jumps with the market.