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Systematic jumps, heterogeneity jumps and tail characteristics
LIU Jing-yi, LI Cai-yun, JIAN Zhi-hong
Systems Engineering - Theory & Practice ›› 2015, Vol. 35 ›› Issue (1) : 49-56.
PDF(752 KB)
PDF(752 KB)
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.
systematic jump / extreme value theory / time-of-day method / peak over threshold method / tail jump {{custom_keyword}} /
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