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

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

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Year of publication:	2018
Authors:	Miao, Hong
Other Persons:	Ramchander, Sanjay (contributor) ; Zumwalt, J. Kenton (contributor)
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Börsenkurs \| Share price \| Wirtschaftsindikator \| Economic indicator \| Ankündigungseffekt \| Announcement effect \| Informationsverbreitung \| Information dissemination \| Kalendereffekt \| Calendar effect

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Extent:	1 Online-Ressource (27 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Futures Markets, 34, 980-1001, 2014 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 12, 2012 erstellt
Other identifiers:	10.2139/ssrn.1920401 [DOI]
Classification:	G10 - General Financial Markets. General ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012940393