Realized Jump Risk and Equity Return in China

Table 2

Descriptive statistics of jump components for size 1 and size 2 portfolios.

SZ1	Size	Mean	Arr	Std	SZ2	Size	Mean	Arr	Std
Mean	0.0803	0.0199	0.1899	0.0032	Mean	0.0887	0.0225	0.1895	0.0035
Median	0.0617	0.0187	0.1713	0.0023	Median	0.0656	0.0202	0.1707	0.0029
Maximum	0.2813	0.0442	0.4134	0.0106	Maximum	0.3011	0.0488	0.4264	0.0097
Minimum	0.0304	0.0108	0.0870	0.0013	Minimum	0.0429	0.0119	0.1065	0.0014
Std. dev.	0.0553	0.0077	0.0786	0.0019	Std. Dev.	0.0596	0.0082	0.0744	0.0018
Skewness	2.0477	1.2664	1.7262	1.5554	Skewness	2.0234	1.1964	1.9767	1.3557
Kurtosis	6.2403	4.3168	5.3520	5.3717	Kurtosis	6.0927	4.1452	6.1131	4.5256
Jarque-Bera	93.181	27.843	59.623	52.283	Jarque-Bera	88.634	24.043	86.513	33.071
Probability	0.0000	0.0000	0.0000	0.0000	Probability	0.0000	0.0000	0.0000	0.0000