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Jumps, News, And Subsequent Return Dynamics: An Intraday Study

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  • Yuewen Xiao
  • Xiangkang Yin
  • Jing Zhao

Abstract

We detect jumps in a high‐frequency price series of exchange‐traded funds (ETFs) that track the broad indexes of U.S. equity markets. Although many jumps (43%) are related to macroeconomic news, more jumps (57%) are not. No‐news jumps are followed by significant return reversals for at least 60 minutes. The return dynamics after news‐related jumps vary with the news characteristics. Scheduled‐news jumps are followed by reversals, whereas unscheduled‐news jumps are followed by momentum. Whether related to news or not, negative jumps are followed by stronger return reversals than are positive jumps.

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  • Yuewen Xiao & Xiangkang Yin & Jing Zhao, 2020. "Jumps, News, And Subsequent Return Dynamics: An Intraday Study," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(3), pages 705-731, August.
    • Handle: RePEc:bla:jfnres:v:43:y:2020:i:3:p:705-731
    DOI: 10.1111/jfir.12223
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