Macroeconomic Policy-Incorporated Jump Dynamics in High-Frequency Stock Index Markets

The former directly affects market liquidity, interest rates, and financing costs, while the latter, as a pillar industry of China's economy, directly affects market stability. Therefore, this article takes the release of information on monetary policy and real estate policy as representative events of macroeconomic policy, and adopts the event study method (Sorescu et al. (2017)) to ultimately determine 25 positive policies and 16 negative policies The price data of the Shanghai Composite Index was purchased from the financial data service of Jinshu Source（ jinshuyuan.net/pdt/196 ）, the monetary policy announcement was collected from the official website of the People's Bank of China（ pbc.gov.cn/zhengcehuobisi ）The real estate regulation policy documents are integrated from China Real Estate Network（ m.fangchan.com/data ).