Chinese stock market's jumping characteristics under the major events.

Do jumps happen in the Chinese stock market when major events occur? What are the feature of these jumps? In this article, we adopted dynamic Jump-Garch model and analysize conditional mean, conditional variance, intensity and amplitude changes of jump. The result shows that jump intensity and amplitude of political events is greatest, together with weak hysteresis quality and endurance; natural disaster perform contrarily; economic events are placed in the middle. [ABSTRACT FROM AUTHOR]