系统性跳跃、异质跳跃与尾部特征

将系统性跳跃和异质跳跃视为尾部事件,从极值理论的视角探讨股票收益率分布的尾部特征.利用time of day(TOD)方法消除高频数据的日内效应,运用指数-个股法~1分解系统性跳跃和异质跳跃,并采用peak over threshold(POT)方法分别估计它们的左尾和右尾参数.实证研究表明,A股市场日内效应具有明显的"L"型特征,每支股票的系统性跳跃与异质跳跃都是显著存在的,且两类跳跃都具有非常明显的厚尾特征,所有股票的右尾跳跃次数和贡献都大于左尾,这表明,频繁出现的资产价格跳跃及其尾部特征是导致股票收益率非正态分布的一个重要原因.

Systematic jumps,heterogeneity jumps and tail characteristics

Considering systematic jumps and heterogeneity jumps as tail events, we discuss the tail characteristics of distribution of stock return from the perspective of the extreme value theory. We use time of day (TOD) method to eliminate intraday effect of high-frequency data, apply index-stock method to decompose systematic jumps and heterogeneity jumps, and the peak over threshold (POT) method to estimate the left tail and right tail parameters. Empirical studies show that the intraday effect of A-share market possesses apparent "L" type feature. Each stock exists significant systematic and heterogeneity jumps. And the tails of two jump types are obvious thick. The times and contributions of right tail jumps are larger than left in all stocks. This suggests that the frequent appearance of jumps and jump tail characteristics are an important reason for non-normal distribution of stock return.