Trading Volume, Realized Volatility and Signed Jump: Evidence Form China”s Stock Market

摘要：

　　In this paper, we investigate the relationship among trading volume, volatility and jump based on Hu-Shen300 index high frequency data.We measure volatility using realized volatility proposed by Andersen and Bollerslev (1998) and decompose it into upside and downside parts by the asymptotic properties of realized upside and downside power variation defined in Bi, Zhang and Wu(2013).To measure jump component, we use a novel jump measure called signed jump proposed by Patton and Sheppard(2011).Our empirical analysis show that trading volume are positively related with realized volatility,RUPV and RDPV.We also find that trading volume is negatively related with signed jump.

关键词： High frequency data Realized volatility Signed Jump Trading volume.

作者: Gong Cheng Tao Bi

作者单位: CNCERT/CC, Beijing, P.R.China,100029

会议类型: 国内会议

会议名称: 第五届复杂科学管理国际研讨会

会议地点: 杭州

会议语种:英文

页码: 43-47

在线出版日期: 2014-10-25（万方平台首次上网日期，不代表论文的发表时间）