摘要
利用基于BN-S方法的已实现波动测度构造出跳跃统计量,用该统计量检验分析了中国股票市场股票价格的跳跃现象.检验结果不仅证实了股票市场价格跳跃存在普遍性,而且发现单支股票的跳跃主要是异质跳跃而不是共同跳跃.这表明单支股票的价格跳跃更多地受到自身市场信息的影响,而共同信息对单支股票的影响是非常有限的.单支股票的共同跳跃大多被异质跳跃及市场微观结构噪声所掩盖.
Based on the realized volatility measurement,we investigate the jumps of stock price in the Chinese stock markets using Z-statistics by BN-S approach.The results show the ubiquity of jumps of stock price in the stock markets.Further more,we find that the jumps of individual stocks are mostly heterogeneous jumps rather than co-jumps which can be seen at the level of the stock index.These results indicate that the jumps of individual stocks tend to be influenced by stock-specific news while the influences generated by market-level news are very limited.Co-jumps of individual stocks are likely to be covered by heterogeneous jumps and market microstructure noise.
出处
《管理科学学报》
CSSCI
北大核心
2011年第9期60-66,共7页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(7097102370832002)
