The empirical research on the jumps in Shanghai stock market

Abstract

We use high-frequency data-based jump detection procedure based on realized volatility measure theory to investigate the price jumps in Shanghai stock market. Using BN-S approach, we find that the price jumps are universal not only in stock index but also in individual stocks. However, the co-jumps detected in stock index are not significant in most of single component stocks. This shows that the jumps in individual stocks can be more generated by stock-specific news while the co-jumps in a well-diversified index should only be generated by market-level news which induces the co-jumps in many stocks. We find that the co-jumps can only be seen in individual stocks when eliminated the idiosyncratic jumps in them.