Abstract: In the field of research about high-frequency data, the scholars pay little attention to the internal relations among different risks. So this article analyses the relationship between microstructure noise and volatility jump in theory for the first time by the high-frequency data. The noise variance is estimated, the volatility jump is separated by constructing the new jump test and the liquidity index is given. The empirical analyses are carried out among microstructure noise jump and liquidity with the data of shanghai composite index. From the empirical analysis, we find the index with higher noise is likely to have volatility jump. The more liquidity index based on financial characteristics has lower noise and is unlikely to have volatility jump. and the corresponding explanations are given.

Key words: microstructure noise, jump, liquidity