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Cojumps in China's spot and stock index futures markets

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  • Wang, Hao
  • Yue, Mengqi
  • Zhao, Hua

Abstract

This paper extracts high-frequency cojumps across China's spot and futures markets to examine the characteristics of cojumps as well as their association with macroeconomic news announcements. The results indicate that there occur significant cojumps and that there is approximately a one-third probability of cojumping when jumps occur in the spot/futures market. The jump covariation attributable to cojump appears more erratic and less persistent than the realized covariance and significantly improves the covariance forecasts. Moreover, we find that electricity consumption, industrial profit, GDP, fixed investment, industrial value-added and retail sales announcements significantly impact cojumps.

Suggested Citation

  • Wang, Hao & Yue, Mengqi & Zhao, Hua, 2015. "Cojumps in China's spot and stock index futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 541-557.
    • Handle: RePEc:eee:pacfin:v:35:y:2015:i:pb:p:541-557
    DOI: 10.1016/j.pacfin.2015.10.002
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    4. Yan, Wan-Lin, 2023. "Stock index futures price prediction using feature selection and deep learning," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).

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    More about this item

    Keywords

    Cojump; Macroeconomic announcement; Jump covariation; Spot; Futures;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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