运用Monte Carlo 模拟数据生成过程的方法, 对现存几种日内跳跃检验方法进行比较. 选用表现最好的ABD 跳跃检验方法, 借助跳跃强度模型, 从经济信息释放对跳跃强度影响的角度探讨上证综指跳跃产生的原因. 研究发现上证综指平均每四天左右发生一次跳跃; 美国股市表现, 存款准备金率, 利率和消费者物价指数, 这些信息的释放是上证综指发生跳跃的原因; 跳跃行为存在非对称性, 并且导致向上和向下跳跃的经济信息存在区别.

This paper presents a comparative analysis of the existing detections for intraday jumps by using a data generation process of Monte Carlo simulation. We use the ABD test procedure, which has best performance, to analyze the reason of jumps in Shanghai Composite Index from the viewpoints of economic information affecting jump intensity with the help of jump intensity model. The result reveals that a jump occurs in Shanghai Composite Index about every four days. The information on the U S stock market performance, the domestic deposit reserve ratio, interest rate and consumer price index is the reason of jumps in Shanghai Composite Index. The jump behavior is asymmetric, and the economic information that causes upward jump and downward jump is different.