Realized jump risk and equity return in China

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104961

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104961

Title:	Realized jump risk and equity return in China
Authors:	謝沛霖;Chen, Guojin;Liu, Xiaoqun;Hsieh, Peilin;Zhao, Xiangqin
Contributors:	管理學院財務金融學系
Keywords:	Capital assets;China;Dynamics;Economic models;Electronic trading systems;Empirical analysis;Equity;Equity (Finance);Evaluation;Financial risk;High frequency trading;Investments;Management;Mathematical models;Methods;Opportunity costs;Prices;Raw materials;Risk;Risk assessment;Risk factors;Robustness;Standard deviation;Stock exchanges;Studies;Theory;Volatility
Date:	2014-01-01
Issue Date:	2026-04-23 12:02:35 (UTC+8)
Publisher:	Hindawi Publishing Corporation;Cairo, Egypt: Hindawi Limiteds
Abstract:	摘要： 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. 出版者： Cairo, Egypt: Hindawi Limiteds 出版日期： 2014-01-01 出處： Discrete Dynamics in Nature and Society, 2014-01, Vol.2014 (2014), p.1001-1013-196 資源來源：華藝CEPS中文電子期刊服務版權： Copyright © 2014 Guojin Chen et al. 版權： COPYRIGHT 2014 John Wiley & Sons, Inc. 版權： COPYRIGHT 2014 Hindawi Limited 版權： Copyright © 2014 Guojin Chen et al. Guojin Chen et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. 識別號： ISSN: 1026-0226 識別號： ISSN: 1607-887X 識別號： EISSN: 1607-887X 識別號： DOI: 10.1155/2014/721635
Appears in Collections:	[Department of Finance] journal & Dissertation

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