Testing for jumps in Japanese stock market under the financial crisis through high-frequency data

抄録

In this paper, we test jumps through high-frequency data by using three methods, Barndorff-Nielsen and Shephard [6], Jiang and Oomen [9], and Lee and Mykland [10], for Nikkei225 and Japanese individual stocks in 2008 year. As we well know, we had the financial crisis in 2008 year. Then from the testing results, we find that there exist jumps in the Japanese markets. Next through Lee and Mykland test, we study jump-size and jump-frequency of Nikkei225 and individual stocks. In consequence, we have significant difference of jump-size distributions of Nikkei225 between 2008 and 2009, but surprisingly no significant difference of frequency distribution.