IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v53y2017i3p563-586.html
   My bibliography  Save this article

Realized Semivariances and the Variation of Signed Jumps in China’s Stock Market

Author

Listed:
  • Nengsheng Fang
  • Wen Jiang
  • Ronghua Luo

Abstract

In this article, we explore the asymmetric predictability of realized semivariances and the difference of signed jump variations in China’s stock market with high frequency data from 2006 to 2013. Our empirical results show that (1) future volatilities are more (less) related to historical realized semivariances computed by negative returns than that calculated by positive returns in the short (long) run; (2) short-sale restriction might be one of the significant factors causing asymmetric effects in China’s stock market; and (3) realized semivariances and the difference of signed jump variations significantly overpass high-order realized moments in predicting the index returns.

Suggested Citation

  • Nengsheng Fang & Wen Jiang & Ronghua Luo, 2017. "Realized Semivariances and the Variation of Signed Jumps in China’s Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(3), pages 563-586, March.
    • Handle: RePEc:mes:emfitr:v:53:y:2017:i:3:p:563-586
    DOI: 10.1080/1540496X.2015.1095566
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2015.1095566
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2015.1095566?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Shahzad, Syed Jawad Hussain & Naeem, Muhammad Abubakr & Peng, Zhe & Bouri, Elie, 2021. "Asymmetric volatility spillover among Chinese sectors during COVID-19," International Review of Financial Analysis, Elsevier, vol. 75(C).
    2. Alessio Brini & Jimmie Lenz, 2024. "A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes," Papers 2404.04962, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:53:y:2017:i:3:p:563-586. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.