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Using 5-minute high frequency data from the Chinese stock market, we employ a non-parametric method to estimate Fama-French portfolio realized jumps and investigate whether the estimated positive, negative and sign realized jumps could forecast or explain the cross-sectional stock returns. The Fama-MacBeth regression results show that not only have the realized jump components and the continuous volatility been compensated with risk premium, but also that the negative jump risk, the positive jump risk and the sign jump risk, to some extent, could explain the return of the stock portfolios. Therefore, we should pay high attention to the downside tail risk and the upside tail risk. [ABSTRACT FROM AUTHOR]

Financial anomalies in emerging markets can be caused by very different reasons than that in mature markets. In a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, we examine financial anomalies in emerging markets from a new perspective, which focuses on heavy political interventions. In the context of China, we show that political consideration of the government can be a critical force that drives the monthly anomaly in the stock market. The Chinese case indicates that usual explanations for the monthly anomaly or the January effect may become invalid in an environment where political intervention is a dominant force in the stock market. Typical of a policy-driven market that prevails in emerging economies, indicate no evidence for the January effect in China, neither its mirror version, the Chinese New Year effect. Rather, returns abnormality is found to occur in March when China is in the political high season. This March effect is likely a result of political manoeuvre by the government to make the appearance of a stable and thriving stock market, which serves the political purpose of preventing social resentment in a politically sensitive time. This shows political window dressing can be an important cause of financial anomalies, which has been largely neglected in the literature. [ABSTRACT FROM AUTHOR]