Realized Semivariances and the Variation of Signed Jumps in China's Stock Market

被引：7
作者：
Fang, Nengsheng [1 ,2 ]
Jiang, Wen [1 ]
Luo, Ronghua [1 ,2 ]
机构：
[1] Southwestern Univ Finance & Econ, Sch Finance, Chengdu, Sichuan, Peoples R China
[2] Collaborat Innovat Ctr Financial Secur, Chengdu, Sichuan, Peoples R China
来源：
EMERGING MARKETS FINANCE AND TRADE | 2017年 / 53卷 / 03期
关键词：
asymmetric predictability; quadratic variation; realized semivariance; short-sale restriction; signed jump; VOLATILITY; NOISE;
D O I：
10.1080/1540496X.2015.1095566
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this article, we explore the asymmetric predictability of realized semivariances and the difference of signed jump variations in China's stock market with high frequency data from 2006 to 2013. Our empirical results show that (1) future volatilities are more (less) related to historical realized semivariances computed by negative returns than that calculated by positive returns in the short (long) run; (2) short-sale restriction might be one of the significant factors causing asymmetric effects in China's stock market; and (3) realized semivariances and the difference of signed jump variations significantly overpass high-order realized moments in predicting the index returns.
引用
收藏
页码：563 / 586
页数：24
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