Research On Price Jump Detection And Volatility Spillover Effects Of A+H Cross Listed Stocks

Theoretical and empirical research on price jumps has been a research focus.For Chinese stock market,no matter for domestic or Hong Kong stock market,price jump is very common and co-jump exists among cross-listed market.When appearance of cojumps is different between domestic and Hong Kong market,then it means the efficience of receiving information or/and private information exist,which follows the volitility spollover effect.For the research on volitility spillover effect,most researchers has been taken traditional parametic method which results in inacuracy of modeling and redundance of calculation so as to qualitfy the research on parametic research.The paper takes non-parametric jump detection method to recognize the jumps within periods of stock crisis and afterwards and jumps within period from Feb.20 th 2017 to Feb 20 th 2018 of A+H cross listed companies;also,co-jumps are tested to build basis for following volatility spillover research.The paper simulates HAR-RV-CJ volatility prediction model and extend it by taking continuous volalitity from another market into account.Five-minute high frequency data could detect the jump within the day,and robust and corrected Z(med)jump statistic and ADS jump detection test could greatly remove microstructure noise which improve the prediction ability.Data set is from Jun 5th,2015 to Feb 20 th 2018 of 5 minutes high frequency data for A+H cross listed companies.At the 1% confidence level,empirical analysis shows that variance of RV and discrete jumps,number and percentage of jumps among stock market crash are all higher than those among later stable period;continuous volatility contributes more to the future aggregate volatility;number and percentage of jumps in H stock market is greater than those in A stock market and volatility of H stock market is more intense;volatility,continuous jumps and discrete jumps have quality of aggregation,and positive feedback,and volatility and continuous jumps have long memory and predictability,not the discrete jumps;significant volatility spillover exist between domestic and Hong Kong market,and information mainly flows from A to H stock market,and continuous jumps of H stock market contributes more to the volatility in two stock markets.