Research Article
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 |
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