کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
973115 1479869 2012 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An empirical examination of jump risk in asset pricing and volatility forecasting in China's equity and bond markets
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
An empirical examination of jump risk in asset pricing and volatility forecasting in China's equity and bond markets
چکیده انگلیسی

Understanding jump risk is important in risk management and option pricing. This study examines the characteristics of jump risk and the volatility forecasting power of the jump component in a panel of high-frequency intraday stock returns and four index returns from Shanghai Stock Exchange. Across portfolio indexes, jump returns on average account for 45% to 64% of total returns when jumps occur. Market systematic jump risk is an important pricing factor for daily returns. The average jump beta is 62% of the average continuous beta for individual stocks. However, the contribution of jump risk to total risk is limited, indicating that statistically significant jumps in the stochastic process of asset price are rare events but have tremendous impacts on the prices of common stocks in China. We further document that accounting for jump components improves the performance of volatility forecasting for some equity and bond portfolios in China, which is confirmed by in-the-sample and out-of-sample forecasting performance analysis.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 20, Issue 5, November 2012, Pages 857–880
نویسندگان
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