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Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market
Author(s) -
Wu Bin,
Chen Pengzhan,
Ye Wuyi
Publication year - 2021
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22209
Subject(s) - jump , economics , volatility (finance) , econometrics , equity (law) , nonparametric statistics , leverage effect , financial economics , autoregressive conditional heteroskedasticity , physics , quantum mechanics , political science , law
Abstract This paper performs a nonparametric analysis of jump activity for the Chinese equities market. More precisely, we perform formal tests to decide whether the jumps in the 50 exchange‐traded fund (50ETF) and its volatility occur together by using the implied volatility index (iVIX) as a proxy for volatility. Our empirical findings are as follows: (i) joint jumps in the 50ETF and iVIX hardly occur, especially during noncrisis periods; (ii) there is a strong degree of dependence between the jump sizes of the 50ETF and iVIX when disaggregating jumps into their positive and negative parts; (iii) the jump component seems to contribute more to the leverage effect than the diffusive component.