Decomposition Of Jump Beta

In order to obtain additional returns,investors often have to bear certain investment risks.When investing in securities,risk and reward are two factors that investors need to consider.Many models of traditional theory estimate the risk premium by matching the expected returns and risks of different investments,but these models only consider continuous risks,and systemic risks include discontinuous parts in addition to continuous parts.Therefore,this paper studies the continuous and discontinuous systemic risks and their correlation with stock risk premiums in different stock markets.This paper selects five-minute data of the Shanghai and Shenzhen 300(large-cap stocks),CSI 500(mid-cap stocks),CSI 1000(small-cap stocks)indexes and their constituent stocks,and uses the LM-ABD test method to test the jump behavior of the market.And studied the phenomenon of co-jumping between individual stocks and the market.The study found that the price jump behavior in the Chinese stock market is more common.The CSI 300 Index’s jump days accounted for 32%,and the small and medium-cap stocks’ jump days accounted for more than 15%.Stocks with market capitalization are more likely to jump together.In order to explore the systemic risk,this article decomposes the market risk and decomposes the market risk factors into two parts:continuous and discontinuous.The discontinuous beta includes jumping beta and overnight beta,which are used to measure jumping risk and overnight risk,respectively.Later,in order to study the asymmetry and scale effect of jumps,jump risks can be divided into positive(large)jump risks and negative(small)jump risks.The study found that when the market has negative jumps and overnight changes,the beta value of individual stocks is higher,indicating that investors are more sensitive to these two changes in the market.This is because overnight changes contain more overnight information and negative changes.The reason why the jump will bring losses to investors.In addition,this paper uses the Fama-Macbeth regression framework to study the relationship between the jumping beta and the risk premium based on the beta coefficient of different risks.The conclusion is that no matter which market is,the overnight beta risk premium is positive,the positive jumping beta risk premium is negative,and the negative jumping beta risk premium is positive.