Abstract: In order to investigate the features of time-varying betas in terms of systematic jumping risk, mcp(mean-cross products) is adopted to test stock markets’ systematic jumps, more robust TBV estimator is used to estimate the contribution of systematic jumps, realized method is applied to decompose daily betas into continuous betas and jumping betas, and then, specifically their stability is tested. The results indicate that significant systematic jumps exist in the stock market in China. The threshold revised TBV estimator has better small-sample properties. The continuous betas are generally stable in medium and long term, but unstable in short term. Jumping betas are relatively poor in short, medium and long term. These results reflect that the main reason of time-varying betas in short term is continuous betas’ instability. But the instability of betas in medium and long term is caused by systematic jumping risk.

Key words: systematic jumping risk, mean-cross product test, continuous betas, jumping betas