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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.
The systematic jump and heterogeneous jumping are regarded as the tail events, and the tail characteristics of stock returns distribution are explored from the perspective of extremum theory.The daily effect of high frequency data is eliminated by time of day (TOD) method. 1 decomposes systematic jumps and heterogeneous jumps and estimates their left-tail and right-tail parameters respectively by peak over threshold (POT) method.The empirical study shows that the intraday effect of A-share market has obvious “L” The systematic jumps and heterogeneous jumps of each stock are significant, and both types of jumps have very obvious thick tail characteristics. The number and contribution of right tail jumps of all stocks are greater than that of the left tail, indicating that the frequently occurring Asset price jump and its tail characteristics are the main reasons leading to the non-normal distribution of stock returns.