In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for both developed and emerging markets from February 2001 to February 2020. We find that jumps arise in all equity markets; however, emerging markets have more jumps relative to developed markets, and positive jumps are more frequent than negative jumps. In emerging markets, the markets with average volatility earn higher returns during jump periods; however, highly volatile markets earn higher returns during jump periods in developed markets. Furthermore, markets with low continuous returns and high volatility are more adversely affected during periods of negative jumps. The average ratio of jump variations to total variation shows considerable variations due to jumps. Integrated volatility is high during periods of negative jumps, and this pattern is consistent in both developed and emerging markets. Moreover, the peak volatility of stock markets is observed during periods of crises. The implication of this study is useful in the asset pricing model, risk management, and for individual investors and portfolio managers for both developed and emerging markets.

中文翻译：

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股票市场回报和综合波动率的跳跃是否重要：亚洲发达市场和新兴市场的比较

在本文中，我们研究跳跃是否对股票市场回报和综合波动率都很重要。为此，我们使用掉期方差 (SwV) 方法来确定 2001 年 2 月至 2020 年 2 月发达市场和新兴市场价格的月度跳跃和估计已实现价格波动。然而，新兴市场相对于发达市场的跳跃更多，正跳跃比负跳跃更频繁。在新兴市场，波动率平均的市场在跳跃期获得更高的回报；然而，在发达市场的跳跃期，高度波动的市场可以获得更高的回报。此外，持续回报低且波动性高的市场在负跳升期间受到的不利影响更大。跳跃变化与总变化的平均比率显示出由于跳跃而产生的相当大的变化。在负跳跃期间，综合波动率很高，这种模式在发达市场和新兴市场都是一致的。此外，在危机期间观察到股票市场的峰值波动。本研究的意义对于发达市场和新兴市场的资产定价模型、风险管理以及个人投资者和投资组合经理都有用。