A0266
Title: Diffusive and jump risk premium in China: The role of trading mechanisms
Authors: Shuyuan Qi - Central University of Finance and Economics (China) [presenting]
Xiaoman Su - HengFeng Bank and Tsinghua University (China)
Abstract: The purpose is to explore the diffusive and jump risk premiums present in the Chinese stock market, paying particular attention to the influence of trading mechanisms on risk premiums in the country. A three-step estimation method is introduced that effectively incorporates information from both physical and risk-neutral probability measures to estimate the risk premia. Notably, the Chinese stock market employs daily price limit rules and special treatment rules, which are specifically designed to uphold market stability and safeguard investors' interests. The intricacies of how these trading mechanisms shape the diffusive are delved into, and risk premiums are jumped in the Chinese stock market, highlighting their significant role in explaining the fluctuations of risk premia.
