中文摘要：

本文通过LeeandMyklandf2008）的跳检验统计量和GMM估计方法分析了我国股票市场的跳跃行为，并基于所估计的（跳跃）扩散模型对我国股指期货的定价表现进行分析与评估。实证结果表明，我国股票市场存在明显的跳跃风险，特别是在股指期货推出的初期，股市存在较大的跳跃性。另外，考虑跳的样本内模型定价表现都明显的优于未考虑跳的样本内模型定价表现，而考虑跳的样本外模型定价预测能力只略优于未考虑跳的样本外模型定价预测能力。跳跃强度绝对水平特征比相对水平特征具有更好的样本内拟合性，而跳跃强度相对水平特征比绝对水平特征具有更好的样本外预测性。

英文摘要：

This paper conducts an empirical study on the jump behavior of stock market and the pricing performance of stock in- dex futures in China. The results show that significant jump risk is present in stock market and incorporating jump into the un- derlying price can further improve the in-sample pricing of stock index futures, but the improvement of the out of sample pric- ing prediction is small. We also find that the absolute level character of jump magnitude has a better performance for in sample goodness of fit, while the relative level character of jump magnitude has a better ability for out of sample prediction.