Abstract: Based on the measurement method of jump in a day frequency， combining the characteristics of high frequency return sequence proceeds intraday， the paper designs a method which could recognize the jump time and size from financial assets’ volatility intraday， studying on the model of significant jump intraday， examining the relationship between the jump intraday and the efficiency of information into the market and thus revealing the essential connotation of jumping. The results show that a significant jump intraday is a fierce form of price discovery that the information fully integrates into the market instantly， which though reflects that most information incorporates into the market quickly.