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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
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