Realized Jump Risk and Equity Return in China | |
Chen, Guojin ; Liu, Xiaoqun ; Hsieh, Peilin ; Zhao, Xiangqin ; Chen GJ(陈国进) ; Zhao XQ(赵向琴) | |
刊名 | http://dx.doi.org/10.1155/2014/721635
![]() |
2014 | |
关键词 | STOCK-MARKET VOLATILITY RARE DISASTERS IDIOSYNCRATIC VOLATILITY LONG-RUN COMPONENTS FRAMEWORK SKEWNESS PUZZLES PREMIUM MODELS |
英文摘要 | National Science Foundation of China [71071132]; 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. |
语种 | 英语 |
出版者 | HINDAWI PUBLISHING CORPORATION |
内容类型 | 期刊论文 |
源URL | [http://dspace.xmu.edu.cn/handle/2288/90200] ![]() |
专题 | 经济学院-已发表论文 |
推荐引用方式 GB/T 7714 | Chen, Guojin,Liu, Xiaoqun,Hsieh, Peilin,et al. Realized Jump Risk and Equity Return in China[J]. http://dx.doi.org/10.1155/2014/721635,2014. |
APA | Chen, Guojin,Liu, Xiaoqun,Hsieh, Peilin,Zhao, Xiangqin,陈国进,&赵向琴.(2014).Realized Jump Risk and Equity Return in China.http://dx.doi.org/10.1155/2014/721635. |
MLA | Chen, Guojin,et al."Realized Jump Risk and Equity Return in China".http://dx.doi.org/10.1155/2014/721635 (2014). |
个性服务 |
查看访问统计 |
相关权益政策 |
暂无数据 |
收藏/分享 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。
修改评论