S&P 500 index‐futures price jumps and macroeconomic news
| dc.contributor.author | Miao, Hong, author | |
| dc.contributor.author | Ramchander, Sanjay, author | |
| dc.contributor.author | Zumwalt, J. Kenton, author | |
| dc.contributor.author | Journal of Futures Markets, publisher | |
| dc.date.accessioned | 2020-05-18T22:28:09Z | |
| dc.date.available | 2020-05-18T22:28:09Z | |
| dc.date.issued | 2013-06-24 | |
| dc.description | Includes bibliographical references (pages 25-27). | |
| dc.description | Published as: Journal of Futures Markets, vol. 34, no.10, pp. 980-1001, October 2014, https://doi.org/10.1002/fut.21627. | |
| dc.description.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. | |
| dc.format.medium | born digital | |
| dc.format.medium | articles | |
| dc.identifier.bibliographicCitation | Miao, H., Ramchander, S., & Zumwalt, J. (2014). S&P 500 Index‐Futures Price Jumps and Macroeconomic News. Journal of Futures Markets, 34(10), 980–1001. https://doi.org/10.1002/fut.21627 | |
| dc.identifier.uri | https://hdl.handle.net/10217/206891 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | Colorado State University. Libraries | |
| dc.relation.ispartof | Faculty Publications | |
| dc.rights | ©2013 Wiley Periodicals, Inc. Author can archive pre-print. Author can archive post-print but subject to 2 years embargo restriction. | |
| dc.rights | Copyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright. | |
| dc.subject | macroeconomic news | |
| dc.subject | jumps | |
| dc.subject | index futures | |
| dc.subject | price adjustment process | |
| dc.title | S&P 500 index‐futures price jumps and macroeconomic news | |
| dc.type | Text |
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