Realized Jump Risk and Equity Return in China

Joint Authors

Zhao, Xiangqin
Chen, Guojin
Hsieh, Peilin
Liu, Xiaoqun

Source

Discrete Dynamics in Nature and Society

Issue

Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-13, 13 p.

Publisher

Hindawi Publishing Corporation

Publication Date

2014-06-23

Country of Publication

Egypt

No. of Pages

13

Main Subjects

Mathematics

Abstract EN

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.

American Psychological Association (APA)

Chen, Guojin& Liu, Xiaoqun& Hsieh, Peilin& Zhao, Xiangqin. 2014. Realized Jump Risk and Equity Return in China. Discrete Dynamics in Nature and Society،Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-493361

Modern Language Association (MLA)

Chen, Guojin…[et al.]. Realized Jump Risk and Equity Return in China. Discrete Dynamics in Nature and Society No. 2014 (2014), pp.1-13.
https://search.emarefa.net/detail/BIM-493361

American Medical Association (AMA)

Chen, Guojin& Liu, Xiaoqun& Hsieh, Peilin& Zhao, Xiangqin. Realized Jump Risk and Equity Return in China. Discrete Dynamics in Nature and Society. 2014. Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-493361

Data Type

Journal Articles

Language

English

Notes

Includes bibliographical references

Record ID

BIM-493361