跳跃、共跳和非预期宏观信息

文章基于5 min高频数据研究了股票市场和债券市场资产价格的高频跳跃和共跳以及它们与定期发布的宏观经济信息的关系.结果表明,股票市场和债券市场具有显著的跳跃性和共跳性,债券市场跳跃的概率远高于股票市场,而股票市场的跳跃幅度远高于债券市场.非预期宏观经济信息不仅显著地影响股票市场和债券市场的跳跃幅度,还影响两个市场的共跳.定期发布的国内生产总值、固定资产投资、居民消费价格指数、采购经理指数、工业品出厂价格指数、贸易差额和工业增加值等指标显著地影响股市债市的共跳.

Jumps,cojumps and unexpected macroeconomic news

The paper studies the high frequency jumps and cojumps in the stock and bond markets using 5-min high frequency data and the relationships between the jumps or cojumps and the macroeconomic news an-nouncements.The results show that there are significant jumps and cojumps in the stock and bond markets. The jump probability in the bond market is much greater than that in the stock market, while the jump sizes in stock markets are much higher than those in the bond market.Moreover, the jump sizes in the stock and bond markets and the occurrence of cojumps are prominently affected by the unexpected macroeconomic news.Fur-thermore, regularly announced indices such as GDP, fixed asset investment, consumer price index, purcha-sing managers' index, producer price index, trade balance, and industrial added-value, significantly affect the cojumps.