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

摘要

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.