S&P 500 index‐futures price jumps and macroeconomic news
Date
2013-06-24
Authors
Miao, Hong, author
Ramchander, Sanjay, author
Zumwalt, J. Kenton, author
Journal of Futures Markets, publisher
Journal Title
Journal ISSN
Volume Title
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.
Description
Includes bibliographical references (pages 25-27).
Published as: Journal of Futures Markets, vol. 34, no.10, pp. 980-1001, October 2014, https://doi.org/10.1002/fut.21627.
Published as: Journal of Futures Markets, vol. 34, no.10, pp. 980-1001, October 2014, https://doi.org/10.1002/fut.21627.
Rights Access
Subject
macroeconomic news
jumps
index futures
price adjustment process