Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market

Bin Wu, Pengzhan Chen and Wuyi Ye

Journal of Futures Markets, 2021, vol. 41, issue 7, 1055-1073

Abstract: This paper performs a nonparametric analysis of jump activity for the Chinese equities market. More precisely, we perform formal tests to decide whether the jumps in the 50 exchange‐traded fund (50ETF) and its volatility occur together by using the implied volatility index (iVIX) as a proxy for volatility. Our empirical findings are as follows: (i) joint jumps in the 50ETF and iVIX hardly occur, especially during noncrisis periods; (ii) there is a strong degree of dependence between the jump sizes of the 50ETF and iVIX when disaggregating jumps into their positive and negative parts; (iii) the jump component seems to contribute more to the leverage effect than the diffusive component.

Date: 2021
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