JUMPS,NEWS, AND SUBSEQUENT RETURN DYNAMICS: AN INTRADAY STUDY |
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| Authors: | Yuewen Xiao Xiangkang Yin Jing Zhao |
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| Institution: | 1. University of Shanghai for Science and Technology;2. Deakin University;3. La Trobe University |
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| Abstract: | We detect jumps in a high-frequency price series of exchange-traded funds (ETFs) that track the broad indexes of U.S. equity markets. Although many jumps (43%) are related to macroeconomic news, more jumps (57%) are not. No-news jumps are followed by significant return reversals for at least 60 minutes. The return dynamics after news-related jumps vary with the news characteristics. Scheduled-news jumps are followed by reversals, whereas unscheduled-news jumps are followed by momentum. Whether related to news or not, negative jumps are followed by stronger return reversals than are positive jumps. |
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