Realized Jump Risk and Equity Return in China

Table 13

Descriptive statistics of jump components for size 3 to size 5 portfolios.

SZ3	Size	Mean	Arr	Std	SZ4	Size	Mean	Arr	Std	SZ5	Size	Mean	Arr	Std
Mean	0.0918	0.0230	0.1918	0.0035	Mean	0.0939	0.0229	0.1982	0.0036	Mean	0.0933	0.0230	0.1947	0.0037
Median	0.0690	0.0212	0.1756	0.0030	Median	0.0719	0.0200	0.1778	0.0030	Median	0.0712	0.0210	0.1727	0.0033
Maximum	0.3286	0.0508	0.4283	0.0090	Maximum	0.3002	0.0505	0.4330	0.0089	Maximum	0.2663	0.0499	0.4324	0.0095
Minimum	0.0326	0.0131	0.0855	0.0012	Minimum	0.0447	0.0140	0.1032	0.0018	Minimum	0.0386	0.0147	0.1085	0.0011
Std. dev.	0.0604	0.0081	0.0779	0.0016	Std. dev.	0.0568	0.0079	0.0759	0.0016	Std. dev.	0.0552	0.0077	0.0762	0.0016
Skewness	2.0464	1.3540	1.6768	1.3756	Skewness	1.9224	1.5546	1.7292	1.5800	Skewness	1.6370	1.5211	1.5507	1.4567
Kurtosis	6.6092	4.6886	5.3955	4.5527	Kurtosis	5.8266	5.1466	5.4538	5.1632	Kurtosis	4.8022	5.0022	4.7581	5.1850
Jarque-Bera	101.74	34.799	58.033	34.099	Jarque-Bera	77.807	48.773	61.438	50.105	Jarque-Bera	47.720	45.318	43.423	45.311
Probability	0.0000	0.0000	0.0000	0.0000	Probability	0.0000	0.0000	0.0000	0.0000	Probability	0.0000	0.0000	0.0000	0.0000
										Observations	82	82	82	82