On Jump Risk In Internet Sector And Relevant Strategies Based On SV Model

Since the new century, with the vigorous development of the Internet industry, the Inter-net sector has been performing actively in the A-share market, appealing an enormous number of investors in the real economy and the capital market. The listed companies on the Internet sector generally need capital to industrial upgrading and technological innovation, with jump risk of the Internet sector index bringing great uncertainty to the companies, which directly a-ffects the development of the listed companies and the industry as a whole. At the same time,because of the characteristics of high growth in the listed companies in Internet sector, it is gr-eatly favored by small investors in the secondary market. It is thus of important practical sign-ificance to study Internet sector jump risk and relevant strategies, in terms of enhancing the g-rowth of industry stability and protecting small investors.This paper analyzes the mechanism of jump risk, combining factors, including the macro level changes in the market environment, the adjustment of industrial structure, as well as the micro level of capital game, information asymmetry, market changes and other factors; esti-mates the characteristics of jump risk under the Internet sector different fluctuated circumsta-nces, with the help of high frequency data and the SV-T model; and shows that the level of vo-latility of Internet sector is higher in the bull market, bear market, and concussion market, am-ong which volatility appears to be largest in a bull market while smallest in a bear market. Th-e model possesses a low precision, when capturing jump risk in the concussion market, where,the sustained fluctuation, however, is the strongest.In this paper, using L-M method to extra-c t the part higher than the threshold level of raw frequency data, and on the transaction date as a unit, the author establishes three jump factors (jump amplitude, frequency hopping, jumping strength), together with the VAR model to estimate jump behavior of non systematic jump r isk influence, indicating that the jump intensity significantly affected the volatility index of t-he bull market, that jump factor has no significant influence on the index of fluctuations in the bear market, and that in concussion market, the influence of jump on the index shows a conti-nuous and negative correlation.Based on the theory of supply and demand, the deviation of ju-mp amplitude and strength makes certain guiding sense to predicting the market turning point.On the basis of the above studies, this paper puts forward the strategies of investment and m-anagement for individual investors, institutional investors and regulators, according to fluctu-ations in the different situations in the Internet sector, including that individual investors long hold in a bull market and be determined to leave in a bear market,that institutional investors adjust hedge shares according to market volatility, and that regulatory agencies in the sub lev-el should focus on the implementation of the intervention program, etc.