著者

UBUKATA Masato

出版者

明治学院大学経済学会

雑誌

明治学院大学経済研究 = The papers and proceedings of economics (ISSN:1349483X)

巻号頁・発行日

vol.161, pp.155-168, 2021-01-31

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This study measures the realized jump beta of sector portfolios constructed from Japanese high-frequency intraday data to assess the dynamics in jump beta aggregated over fixed intervals of time. When we test the null hypothesis that jump beta remains constant over time, the result strongly rejects the constancy of annually aggregated jump beta, but does not frequently reject that of monthly jump beta. Given the worldwide evidence of fractional integration in realized variance and covariance, the estimation result under the assumption of a pure fractional noise process of the monthly jump beta indicates a smaller average degree of integration, namely ARFIMA(0, 0.2,0), than that of a total realized beta largely including diffusive risk component of asset returns. Moreover, the jump beta might be naturally modeled as a stationary I(0) process.