金融资产日内跳跃检验比较及其股市跳跃特征分析  

A Comparison between Intraday Jump Tests for Financial Asset Prices and Analysis of Jump Characteristics of Stock Market

作　　者：唐勇[1] 黄志刚[1] 张两喜[1] 

机构地区：[1]福州大学管理学院,福州350108

出　　处：《成都理工大学学报（社会科学版）》2013年第3期50-60,共11页Journal of Chengdu University of Technology:Social Sciences

基　　金：国家自然科学基金项目"国际金融危机背景下的汇率制度风险控制及汇率弹性空间研究"(70973021);国家自然科学基金项目"基于已实现测量非参数方法的金融资产跳跃行为研究"(71171056)的阶段性研究成果

摘　　要：运用Monte Carlo模拟分析的方法,通过对现存几种日内跳跃检验方法进行比较后发现,就检测能力、错判率和跳跃方差偏差而言,ABD跳跃检验方法表现最优。利用ABD跳跃检验方法,通过对上证综指高频数据进行分析后发现,上证综指平均大约每四天发生一次跳跃,跳跃方差贡献约为19%,并且跳跃行为存在非对称性;同时发现跳跃行为是造成上证综指收益率尖峰厚尾特征的重要因素之一。This paper presents a comparative analysis of the existing detections for intraday jumps by using a Monte Carlo simulation. We find that the procedure of ABD test has the best performance in testing capability, rate of wrong judgment and jump variance deviation. Then we use the ABD test procedure to analyze the jumps of the Shanghai Composite Index in high frequency data. The results reveal that the jumps occur in the Shanghai Composite Index about every four days in average, the contribution of jump variance to volatility is about 19%, and the jump behavior is asymmetric. Meanwhile, we find that the jump behavior is one of the important factors causing the Shanghai Composite Index to yield leptokurtic and heavy-tailed features.

关 键 词：日内跳跃 高频数据 MONTE CARLO模拟 股市跳跃特征 金融资产 

分 类 号：F831.5[经济管理—金融学]