Cojumps in China's spot and stock index futures markets

Hao Wang, Mengqi Yue and Hua Zhao

Pacific-Basin Finance Journal, 2015, vol. 35, issue PB, 541-557

Abstract: This paper extracts high-frequency cojumps across China's spot and futures markets to examine the characteristics of cojumps as well as their association with macroeconomic news announcements. The results indicate that there occur significant cojumps and that there is approximately a one-third probability of cojumping when jumps occur in the spot/futures market. The jump covariation attributable to cojump appears more erratic and less persistent than the realized covariance and significantly improves the covariance forecasts. Moreover, we find that electricity consumption, industrial profit, GDP, fixed investment, industrial value-added and retail sales announcements significantly impact cojumps.

Keywords: Cojump; Macroeconomic announcement; Jump covariation; Spot; Futures (search for similar items in EconPapers)
JEL-codes: C14 G11 G17 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:35:y:2015:i:pb:p:541-557

DOI: 10.1016/j.pacfin.2015.10.002

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