Jumps,Co-jumps And Macro Announcements

Financial market volatility is an important factor in asset pricing,risk management and portfolio management,which has aroused extensive academic research.When there is significant news in the market,especially unexpected news,asset prices tend to show discontinuous changes,showing a significant "jump" behavior.With the deepening of market integration,there are frequent price linkage between markets,forming a special "common jump" phenomenon.In this context,it is of great significance to investors and regulatory authorities how to effectively test market jumps and co-jumps and identify the influential mechanism of all kinds of information on jumps and co-jumps.Therefore,this paper takes China’s metal futures as the research object,based on 5-minute high-frequency data and nonparametric method,studies the jumps and co-jumps in China’s metal futures market and their relationship with macro announcements.First of all,the characteristics of metal futures daily yield and volatility is described and the statistics,the results show that metal futures market in China is frequent price fluctuations,including precious metal futures market has a high frequency of fluctuation and a small range,while the black metal futures market has a low frequency,but its volatility and even reach more than 10 times as much as precious metals futures market.The above results show that the speculative atmosphere in China’s metal futures market is very active and the market risk is prominent.Secondly,according to the existing jump detection methods,non-parametric method is used to identify the metal futures market jump,and its characteristics are described and explained.The results show that there are frequent jumps in China’s metal futures markets,among which there are jumps in more than half of the trading days in precious metal futures markets.At the same time,according to the characteristics of jump rate of return,although the ferrous metal futures jump days are relatively few,but the mean and standard deviation of jump rate of return are very large,indicating that the market jump range is very large.In addition,according to the characteristics of return rate,the symmetry of jump is analyzed,and the results show that the asymmetry of jump frequency and amplitude is significant in most markets except a few markets.Finally,the macro announcements is constructed based on the uncertainty of news release date,and the relationship between various macro announcements and jumps and co-jumps are studied by using statistical method and binary model.The statistical results of jumps and macro announcements show that the conditional probability of jump in precious metal market is much higher than that in other futures markets when regular macro announcements are released.At the same time,the empirical results show that,except for GDP and PMI information,most of the conventional macro announcements have a significant relationship with individual market jumps,but the Irregular macro announcements(trade friction news)have a significant relationship with almost all market jumps.In addition,the statistical results of co-jumps and macro announcements show that when macro announcements are released,there is little difference in the probability of jump in each metal futures market.At the same time,according to the empirical results,macro announcement has a more significant impact on the co-jump of market portfolios than on the jump of single markets.