沪深300指数跳的逐点检验及动态分析

Jump Test on Time Points and Jump Dynamics:Empirical Study on CSI 300

作为金融衍生产品标的,沪深300指数是否存在跳以及跳服从怎样的动态规律对资产定价和风险管理都十分重要。本文提出新的时点方差估计方法,构造渐进性质更好的跳检验统计量,以此对沪深300指数5分钟数据进行时点跳检验,在此基础上对跳的动态变化进行分析。实证结果表明,沪深300指数存在跳,跳发生次数服从Poisson过程,但跳发生概率随时间变化,具有时变性;跳幅分布具有厚尾性并向右偏斜,分布随时间发生变化,不服从同分布假设。本文的研究结果为相关研究提供了基础性实证结论。

As underlying of financial derivatives in China financial market, the jumps and their dynamic play import role in asset pricing and risk management. In this paper, the author builds up a new estimation of spot variance based on threshold bipower variation and establishes an asymptotically more efficent jump test statistics. With this new test jump statistics, jump test and dynamic analysis based on five-minutes data of CSI300 are conducted. The empirical evidence shows that jumps in CSI 300 are ubiquitous and driven by a compound Poisson process with time-varing density and time-varing jump size, which implies that jump size is not i. i. d.. The empirical results in this paper can be foundamental for relevent studies.