為了研究價格跳躍和流動性之間的關係，我們藉由韓國綜合股價指數(KOSPI) 日內資料並採用非母數價格跳躍穩健度檢驗模型和流動性替代測度。價格跳躍穩健度檢驗部分，我們採用Lee-Mykland檢驗方法。至於流動性部分，我們採用 Corwin-Schultz 價差估計量作為流動性的代理變數。除此之外，我們將 KOSPI 價格時間序列資料整理為日內兩分鐘頻率，以更好地在微結構噪音和精細取樣之間取得平衡。實證結果顯示有證據表明存在多個價格跳躍與負價差之間的連接，而其中一些連結分佈在 10% 樣本交易天數中價差值最小之天數。另外，為了進一步討論價格跳躍造成的波動度，我們擷取實際波動度(Realized Variance)和Bi-power波動度(Bi-power variance)之間的差值。接著我們用實際波動度和上述擷取之差值和其兩變數上一期分別對價差進行簡單回歸。我們發現，實際波動度與價差呈現正相關，並且上一期的正負方向相同。然而，RV-BP及其上一期呈現正負相反的關係。另外實證結果也證實了Corwin-Schultz 估計量的理論限制，即當同一天或前一天的波動度較大時，Corwin-Schultz 價差估計值可能為負值。

To study the relationship between jumps and liquidity, we employ non-parametric price jump robust test and liquidity proxy measure for KOSPI intraday data. For jump robust test, we adopt the Lee-Mykland test. For liquidity measure, we use the Corwin-Schultz spread measure as the proxy of liquidity. Furthermore, we set KOSPI time-series price data into two-minute frequency to better strike a balance between microstructure noise and finite sampling. Our results show solid evidence that there are several connections between price jumps and negative values of Corwin-Schultz spread. In particular, some of these connections are within the 10% of trading days with minimum spread values. Moreover, to further discuss the volatility contributed by jumps, we take the difference between Realized Variance and Bi-power Variance. Then we use realized variance and the difference, as well as their lag values, to do simple regressions on the spread respectively. We find that realized variance is positively related to spread and has the same direction at lag value. However, the difference and its lag value reveal different direction of correlation. The results also confirm and partially explain the theoretical limitation in Corwin-Schultz spread estimator – when volatility on the same day or previous day is large, the Corwin-Schultz spread values cannot guaranteed to be positive.

Content
論文審定書...................................................i
摘要...............................................................ii
Abstract.........................................................iii
1. Introduction..............................................1
2. Literature review.......................................6
2.1 Jump test................................................6
2.2 Liquidity measure....................................9
3. Data description........................................11
4. Methodology..............................................16
4.1 Jump test and frequency sampling........16
4.1.1. Lee-Mykland test.................................16
4.1.2. Frequency sampling............................19
4.2 Bid-ask Spread.........................................21
4.3. The connection.......................................23
5. Estimation result........................................24
5.1. Lee-Mykland test.....................................24
5.2. Bid-ask Spread........................................28
5.3 connection...............................................30
6. Conclusion..................................................34
References......................................................38

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