Asymmetric Predictability of Realized Semivariances and the Variations of Signed Jumps : Evidence from China's Stock Market

This paper explores the asymmetric predictability of realized semivariances and the variation of signed jumps in China's stock market with high frequency data from 2006 to 2013. Our empirical results show that, (1) future volatilities are more (less) related to the historical realized semivariances computed by negative returns than that calculated by positive returns in the short (long) run, and (2) the realized semivariances and the variation of signed jumps significantly explain and overpass high order realized moments in predicting the index returns, and (3) short-sale constrictions might be one of the factors causing asymmetric effects