Abstract
ABSTRACTIn 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.
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