Miao, Hong; Ramchander, Sanjay; Zumwalt, J. Kenton - In: Journal of Futures Markets 34 (2014) 10, pp. 980-1001
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...
