基于跳跃特征的证券市场信息融入效率研究

Investigation of the Efficiency of Information into the Security Market Based on the Jumps' Features

以日间跳跃测量方法为基础,综合日内高频收益序列特征,研究设计了一种甄别金融资产收益日内波动跳跃时刻和规模的方法,对显著跳跃的日内模式、日内跳跃与信息融入效率的关系进行了考察。研究结果发现,显著跳跃在日内本质上是一种信息瞬间完全融入的、激烈的价格发现形式,虽然我国证券市场多数重大信息融入速率较快,但过高的跳跃到达率也反映出市场交易机制尚待完善。

Based on the measurement method of jump in a day frequency,combining the characteristics of high frequency return sequence proceeds intraday,the paper designs a method which could recognize the jump time and size from financial assets＇ volatility intraday,studying on the model of significant jump intraday,examining the relationship between the jump intraday and the efficiency of information into the market and thus revealing the essential connotation of jumping.The results show that a significant jump intraday is a fierce form of price discovery that the information fully integrates into the market instantly,which though reflects that most information incorporates into the market quickly.