JUMPS, NEWS, AND SUBSEQUENT RETURN DYNAMICS: AN INTRADAY STUDY

被引：2
|
作者：
Xiao, Yuewen [1 ]
Yin, Xiangkang [2 ]
Zhao, Jing [3 ]
机构：
[1] Univ Shanghai Sci & Technol, Shanghai, Peoples R China
[2] Deakin Univ, Geelong, Vic, Australia
[3] La Trobe Univ, Bundoora, Vic, Australia
来源：
JOURNAL OF FINANCIAL RESEARCH | 2020年 / 43卷 / 03期
关键词：
SHORT-TERM REVERSALS; STOCK RETURNS; INDEX-FUTURES; PRICE CHANGES; INFORMATION; MARKET; VOLATILITY; LIQUIDITY; DIFFUSION; FUNDS;
D O I：
10.1111/jfir.12223
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：705 / 731
页数：27
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