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Jumps at ultra-high frequency: Evidence from the Chinese stock market

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  • Zhang, Chuanhai
  • Liu, Zhi
  • Liu, Qiang
Abstract
This paper investigates the magnitude of the jump component to total price variance in the Chinese stock market based on the highest resolution data. We apply the newly proposed jump test for semi-martingale contaminated by microstructure noise based on the truncated pre-averaging bi-power estimation. Theoretically, we prove that such test achieves satisfactory asymptotic size and power. The universal threshold technique can also be adopted to avoid spurious detections and the Monte Carlo simulations show reasonable performance of the test in noisy setting. The empirical results imply that jump variation is an order of magnitude smaller than typical estimates found in the existing literature from different angles, and the further empirical results also support these findings.

Suggested Citation

  • Zhang, Chuanhai & Liu, Zhi & Liu, Qiang, 2021. "Jumps at ultra-high frequency: Evidence from the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    • Handle: RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x19305402
    DOI: 10.1016/j.pacfin.2020.101420
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    References listed on IDEAS

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    Cited by:

    1. Zhang, Chuanhai & Ma, Huan & Liao, Xiaosai, 2023. "Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
    2. Hassan Zada & Huma Maqsood & Shakeel Ahmed & Muhammad Zeb Khan, 2023. "Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia," SN Business & Economics, Springer, vol. 3(1), pages 1-22, January.
    3. Song, Yuping & Huang, Jiefei & Zhang, Qichao & Xu, Yang, 2024. "Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China," Economic Modelling, Elsevier, vol. 136(C).

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