Analysis Of The Characteristics Of Intraday Share Price Jump Transmission Of Listed Stocks In AH

The phenomenon that the price of financial assets changes dramatically in a short time is called jump.The jump of Asset price has a direct or indirect impact on the estimation and prediction of the volatility of asset return rate.Since the opening of Shanghai-Hong Kong Stock Connect,the AH stock price difference have a change which the traditional market segmentation theory can not explain.Therefore,this paper provides a new way to explain the causes of AH stock price difference through Jump behavior research.Using the 1 minutes high-frequency data of Shanghai Composite Index,Hang Seng Index and AH stocks from December 1st,2017 to March 1st,2018,we investigate the jump features and spreading features.We use the BTL's method to extract jump from Shanghai and Hong Kong stock markets.Then,we use the statistical methods to annalyse the features of jump and Combined jump.Finally,based on the results of jump time,we annalyse the influence of returns and price difference of AH stocks that the jump of stock index brings to them.The research shows that: both the Shanghai and Hong Kong stock markets show remarkable jump effect.The jump frequency of Shanghai index is lower but the jump range is greater comparable with Hong Kong index.The upward jump shows more in Shanghai index while it remains the same frequency with downward jump in Hong Kong index.When the combined jump happens,the average returns of A shares and H shares changes in 3ways:a same change,an opposite change and insensitive.When study the spread of AH stock price,it shows that jump in Shanghai Index will make bigger change comparable to the jump in Hong Kong index.