TITLE:
Jumps in High-Frequency Data on the Chinese Stock Market
AUTHORS:
Ying Li, Tengfei Jiang
KEYWORDS:
High-Frequency Data, Activity Signature Function, Cojump, Nonparametric Method
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.7 No.2,
May
31,
2017
ABSTRACT: This study adopts two nonparametric methods, the activity signature function (ASF) and ratio analysis of cojumps, to test jumps in China’s stock market. Jumps in the stock price, stock-index futures, and volatility of China Securities Index (CSI) 300 index are analyzed using data on the continuous main-contract price of the index. The findings are as follows. First, in the long run, the CSI 300 index process is a continuous process exhibiting jumps at all sampling intervals. In the short run, the index becomes a pure-jump process in times of recession while exhibiting the characteristics of a continuous or even semimartingale process in certain intervals. Second, the stock-index futures process is a continuous process with jumps at all sampling intervals and, in the short run, exhibits the characteristics of a pure-jump process every 6 months. Moreover, the volatility process generally exhibits the characteristics of pure-jump processes. Third, the CSI 300 index price process and the continuous main-contract price process of the CSI 300 stock-index futures are significantly and positively related, with jumps occurring with a time lag of less than 5 minutes; by contrast, the volatility and price processes of the index are nonsignificantly related.