重大事件发生时,中国股市是否会发生跳跃?跳跃的特性是怎样的呢?该文应用动态JumpGarch模型,分别对不同类型(分为政策性事件、经济事件及自然灾害类事件)的重大事件发生时,股票市场指数跳跃大小的条件均值、条件方差以及跳跃强度、幅度的变化情况进行了综合分析.结果发现政策性事件的跳跃强度与幅度最大,但滞后性、持续性很弱;自然灾害类事件跳跃强度与幅度最小,但持续性和滞后性最大;经济事件则位于二者之间. Will the Chinese stock market jump when a major event occurs? What are the characteristics of the jump? This article applies the dynamic JumpGarch model to separate the major events of different types (divided into policy events, economic events and natural disaster events) , The conditional variance and the change of jump strength and amplitude are comprehensively analyzed.The results show that the jumping strength and range of policy events are the largest but the hysteresis is weak and the continuity is weak. Natural disasters Event jumping strength and amplitude of the smallest, but the continuity and lag the largest; economic events are located between the two.