S&P 500 Index‐Futures Price Jumps and Macroeconomic News

Hong Miao · Sanjay Ramchander · J. Kenton Zumwalt

39 citations0/0 files storedJournal of Futures Markets

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

Abstract This study examines the influence of macroeconomic news on price discontinuities in the S&P 500 index futures. Results document a strong association between macro news and price jumps. Over three‐fourths of the price jumps between 8:30 am and 8:35 am and over three‐fifths of the jumps between 10:00 am and 10:05 am are related to news released at 8:30 am and 10:30 am, respectively. Notably, among several types of news releases considered, Non‐farm Payroll and Consumer Confidence are found to be significantly related to price jumps. Our findings also provide insights into the speed of news absorption and the influence of alternative trading platforms on the jump return behavior. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:980–1001, 2014

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References

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