Abstract: The stock price jump not only causes huge losses to investors, but also is not conducive to the healthy development of securities market. This paper examines the effect of trading activity and information friction on stock price jump, finding that trading activity and information friction have an asymmetric effect on the stock price jump. The effect of trading activity on positive jump is positive but little on negative jumps; the effect of information friction on positive and negative jumps are both positive, and the direction of impact depends on overnight new information. In short, the reason of negative stock price jump is information friction rather than transaction activity. Therefore, negative jump could be reduced through higher market transparency to maintain the stability of financial markets.

Key words: trading activities, informational friction, jump