STUDIES OF CHINESE STOCK MARKET LEVERAGE EFFECT BASED ON JUMP-DIFFUSION PROCESS

摘要

A leverage effect method based on jump-diffusion process is investigated in this paper. In this method, event risk in stock market is described by random jumps and the stock return series can be described by a Jump-GJR process whose parameters can be estimated by simulated annealing algorithm. By simulation method, the distribution of stock return and its intending interval estimation value can be obtained simply. The empirical study on index of Shanghai security markets shows it's reasonable and necessary to incorporate event risk to leverage effect models.