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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.
The method of Monte Carlo simulation data generation is used to compare several existing methods of daily jump detection.Selecting the best performing ABD jump test method and using the jump strength model, this paper discusses the influence of economic information release on the jump strength The reasons for the jump.The study found that the Shanghai Composite Index on average every four days or so a jump occurred; the United States stock market performance, the deposit reserve ratio, interest rates and consumer price index, the release of these information is the reason for the Shanghai Composite Index jumping; jump behavior There is asymmetry and there is a difference between the economic information that leads to jumping up and down.