随着中国资本市场的日益开放和监管体系的日趋完善，中国股票市场规模屡登高峰，市场交易愈发活跃，但另一面是可能的极端波动也给投资者带来了巨大风险，极端波动的持续时间越长给投资者带来损失的可能性就越大。股票价格自身异质的波动相关性和股票间的波动相关性是影响投资者获取稳定超额收益的强影响因素。对股票价格波动的系统性研究，特别是针对股票价格跳跃的相关性研究可为市场参与者提供公允的评价标准和有效的波动风险检测工具，对完善市场监督、规避极端波动风险爆发、遏止市场剧烈震荡甚至引发金融危机、保障金融市场的平稳运行具有积极意义。

   本文从微观结构上提出了有效的股票价格生成机制，模拟分析了价格跳跃现象和典型事实，并在实证研究中验证了模拟结果。价格跳跃持续性是价格跳跃在时间尺度上存在着不等的持续时长，跳跃持续时长的一般性特征可发掘市场中价格跳跃的平均影响范围和影响程度，中国股票市场跳跃持续时长满足幂律分布特征，绝大多数跳跃持续时间小于10分钟，在短时间内对价格走势产生冲击。

   价格跳跃自我激励性是指单一资产价格跳跃存在聚集性，即短期内价格跳跃连续发生，这会严重影响投资者对价格的正常预期，对投资者情绪产生负面干扰，威胁市场价格的平稳运行秩序。中国股票市场中存在着普遍的价格自我激励现象，价格跳跃集中发生在特定时间区间，在2015年股灾期间表现得尤为明显，这说明市场上存在着强有力的外部影响因素（如政策调整、资本流入流出等影响股票市场基本面的因素）。

    本文广泛整理了价格跳跃的检验方法，将单一资产跳跃和多资产共同跳跃纳入统一的价格跳跃框架下，为解释价格跳跃相关性提供了基础。本文从高频金融资产价格序列和收益率序列出发，通过数学推导和假设相结合的方式，研究价格序列、收益率序列和波动率序列表现出的跳跃特征和相关性特征，利用计算机工具进行了模拟分析，很好地复现了价格收益的幂律尾、波动聚集和跳跃现象等典型事实，对跳跃相关性的特征和性质展开了深入研究。在此基础上，本文以2015年上证50指数及其成份股和2018年沪深300指数及其成份股为例的实证分析表明，中国股票市场上存在着显著的价格跳跃现象和共同跳跃现象，价格跳跃还显示出了跳跃持续性和自我激励性特征，充分揭示了中国股票市场的价格跳跃相关性结构和特征。

       As China’s capital market keeps going open and regulatory systems keeps improving, the scale of China’s stock market has repeatedly reached peaks with more active trading. However, the other side is that the volatility meets more extreme conditions, bringing huge risks to investors. The longer the extreme volatility lasts, the greater the possibility of losses to investors would be. One of the strongest influencing factors that affect investors to obtain stable excess return is the heterogeneous volatility correlation of and between stocks. A systematic study on fluctuations of stock price, especially the study on correlations of price jumps, would provide fair evaluation standards and effective fluctuation risk detection tools for market participants, and would show a positive significance in improving market supervision functionality, avoiding extreme volatility risk outbreak, preventing market turmoil and protecting the financial balance of market.

      This article proposes an effective mechanism for generating stock prices from a microstructural perspective. On this basis, the phenomenon of price jumps and typical facts are simulated and analyzed, with simulation results having been verified in an empirical study. Prices jump sustainability reflects that price jumps have a range of duration on the time scale, the general characteristic of which would exploit average influence scope and extend of price jumps in the market. The evidence in China’s stock market indicates that jump durations followed a power-law distribution with vast majority of jump durations less than 10 minutes, suggesting that prices always jumped in a short period of time.

      The self-motivation of price jumps refers that price jumps of single asset is always gathered in a period of time, showing that price jumps keep emerging shortly and continuously. It would strongly affect investors’ expectations of prices, negatively interfere with investor sentiment and threaten running stability of prices in market. The empirical evidence shows that the prices were widely self-motivated in China’s stock market, and price jumps happened in particular period of time, which was strongly supported by the stock market’s strike in 2015. This indicates that there were powerful external factors in the market (such as policy adjustment, capital inflow and outflow, and similar factors affecting the fundamentals of the stock market).

      In this article, tests of price jumps are gathered in a united structure that jumps of single asset and co-jumps of multi-assets could be analyzed on the same basis. On a basis of high-frequency financial asset price, yield and volatility sequences, the article studied features of price jump and the correlation and combined mathematical derivation with valid assumptions, with the support of computer computational tools. The results of simulations and empirical study well resembled the typical facts such as power-law tail, fluctuation clustering, and price jumps and studied the characteristics and properties of price jumps in depth. Cumulatively, this article took the SZ50 index and SH300 index as examples in empirical study, and the result showed that there are significant price jumps and co-jumps in China's stock market. At the same time, price jumps also show the characteristics of sustainability and self-motivation, which fully reveals the structure and characteristics of the correlation of price jump in China's stock market.