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Jumps at ultra-high frequency: Evidence from the Chinese stock market
Zhang,Chuanhai1; Liu,Zhi2; Liu,Qiang3
2021
Source PublicationPacific Basin Finance Journal
ABS Journal Level2
ISSN0927-538X
Volume68Issue:101420
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.

KeywordJumps Market Microstructure Noise Pre-averaging Truncated Bi-power Variation Ultra High Frequency Data
DOI10.1016/j.pacfin.2020.101420
URLView the original
Indexed BySSCI
Language英語English
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000687302600023
Scopus ID2-s2.0-85089892433
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Cited Times [WOS]:0   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionDEPARTMENT OF MATHEMATICS
Corresponding AuthorZhang,Chuanhai
Affiliation1.School of Finance,Zhongnan University of Economics and Law,Wuhan,430073,China
2.Faculty of Science and Technology,University of Macau,China
3.Department of Mathematics,Faculty of Science,National University of Singapore,Singapore
Recommended Citation
GB/T 7714
Zhang,Chuanhai,Liu,Zhi,Liu,Qiang. Jumps at ultra-high frequency: Evidence from the Chinese stock market[J]. Pacific Basin Finance Journal,2021,68(101420).
APA Zhang,Chuanhai,Liu,Zhi,&Liu,Qiang.(2021).Jumps at ultra-high frequency: Evidence from the Chinese stock market.Pacific Basin Finance Journal,68(101420).
MLA Zhang,Chuanhai,et al."Jumps at ultra-high frequency: Evidence from the Chinese stock market".Pacific Basin Finance Journal 68.101420(2021).
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