File1. The original data and the data of constructed 25 portfolios

Specifically, in file “2007”, there are subsets of 25 texts and 50 files. According to our samples, we constructed 25 portfolios using all of the individual stocks, which are named “s1b1”, “s1b2”, “s1b3”, “s1b4”, “s1b5”, …, “s5b1”, “s5b2”, “s5b3”, “s5b4”, “s5b5”.

And the 25 subset texts are the constituent stocks for each portfolio, named “s1b1_07” to “s5b5_07”. As for the 50 files, 25 of them are the original price data for 25 portfolios named “s1b1_07” to “s5b5_07”; the other 25 are the processed data for 25 portfolios named “s1b1_07result” to “s5b5_o7result”,in which realized jump measures data are calculated by the non-parametric method, for all constituent stocks of portfolio “s1b1” to portfolio “s5b5”, respectively.