Realized Jump Risk and Equity Return in China
We utilize the realized jump components to explore a new jump (including nonsystematic jump and systematic jump) risk factor model. After estimating daily realized jumps from high-frequency transaction data of the Chinese A-share stocks, we calculate monthly jump size, monthly jump standard deviatio...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2014/721635 |
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| _version_ | 1832563701073313792 |
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| author | Guojin Chen Xiaoqun Liu Peilin Hsieh Xiangqin Zhao |
| author_facet | Guojin Chen Xiaoqun Liu Peilin Hsieh Xiangqin Zhao |
| author_sort | Guojin Chen |
| collection | DOAJ |
| description | We utilize the realized jump components to explore a new jump (including nonsystematic jump and systematic jump) risk factor model. After estimating daily realized jumps from high-frequency transaction data of the Chinese A-share stocks, we calculate monthly jump size, monthly jump standard deviation, and monthly jump arrival rate and then use those monthly jump factors to explain the return of the following month. Our empirical results show that the jump tail risk can explain the equity return. For the large capital-size stocks, large cap stock portfolios, and index, one-month lagged jump risk factor significantly explains the asset return variation. Our results remain the same even when we add the size and value factors in the robustness tests. |
| format | Article |
| id | doaj-art-3e88e0e9a80d4a2f8f953593e956fcb4 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-3e88e0e9a80d4a2f8f953593e956fcb42025-02-03T01:12:42ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2014-01-01201410.1155/2014/721635721635Realized Jump Risk and Equity Return in ChinaGuojin Chen0Xiaoqun Liu1Peilin Hsieh2Xiangqin Zhao3School of Economics and The Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, Fujian 361005, ChinaSchool of Economics, Xiamen University, Xiamen, Fujian 361005, ChinaSchool of Economics and The Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, Fujian 361005, ChinaSchool of Economics, Xiamen University, Xiamen, Fujian 361005, ChinaWe utilize the realized jump components to explore a new jump (including nonsystematic jump and systematic jump) risk factor model. After estimating daily realized jumps from high-frequency transaction data of the Chinese A-share stocks, we calculate monthly jump size, monthly jump standard deviation, and monthly jump arrival rate and then use those monthly jump factors to explain the return of the following month. Our empirical results show that the jump tail risk can explain the equity return. For the large capital-size stocks, large cap stock portfolios, and index, one-month lagged jump risk factor significantly explains the asset return variation. Our results remain the same even when we add the size and value factors in the robustness tests.http://dx.doi.org/10.1155/2014/721635 |
| spellingShingle | Guojin Chen Xiaoqun Liu Peilin Hsieh Xiangqin Zhao Realized Jump Risk and Equity Return in China Discrete Dynamics in Nature and Society |
| title | Realized Jump Risk and Equity Return in China |
| title_full | Realized Jump Risk and Equity Return in China |
| title_fullStr | Realized Jump Risk and Equity Return in China |
| title_full_unstemmed | Realized Jump Risk and Equity Return in China |
| title_short | Realized Jump Risk and Equity Return in China |
| title_sort | realized jump risk and equity return in china |
| url | http://dx.doi.org/10.1155/2014/721635 |
| work_keys_str_mv | AT guojinchen realizedjumpriskandequityreturninchina AT xiaoqunliu realizedjumpriskandequityreturninchina AT peilinhsieh realizedjumpriskandequityreturninchina AT xiangqinzhao realizedjumpriskandequityreturninchina |