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Intraday jumps in China's Treasury bond market and macro news announcements

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  • Cui, Jing
  • Zhao, Hua

Abstract

This paper utilizes a recently-developed non-parametric method (Bollerslev, Todorov and Li, 2013) to identify high-frequency jump size and timing in China's Treasury bond market and investigates the impact of macro news announcements on price jumps. Our results reveal that jump intensity in China's Treasury bond market represents a W-shaped pattern. Additionally, CPI, PPI, trade balance, GDP, and M2 announcements significantly impact jump probability and sizes. When good news is separated from bad news it is found that good news has a greater impact on jump sizes than bad news for most macro news variables.

Suggested Citation

  • Cui, Jing & Zhao, Hua, 2015. "Intraday jumps in China's Treasury bond market and macro news announcements," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 211-223.
    • Handle: RePEc:eee:reveco:v:39:y:2015:i:c:p:211-223
    DOI: 10.1016/j.iref.2015.04.006
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