• S&P 500 index‐futures price jumps and macroeconomic news 

        Author(s):Miao, Hong; Ramchander, Sanjay; Zumwalt, J. Kenton
        Date Issued:2013-06-24
        Format:born digital; articles
        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 ...