Intraday jumps, liquidity, and U.S. macroeconomic news: evidence from exchange traded funds

Jurdi, Doureige

doi:10.26181/5ffb76005391c

File(s) stored somewhere else

https://www.mdpi.com/1911-8074/13/6/118

Please note: Linked content is NOT stored on La Trobe and we can't guarantee its availability, quality, security or accept any liability.

Intraday jumps, liquidity, and U.S. macroeconomic news: evidence from exchange traded funds

journal contribution

posted on 2021-01-10, 21:47 authored by Doureige JurdiDoureige Jurdi

This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and macroeconomic news surprises on the frequency of observing intraday jumps. It explicitly addresses market microstructure noise-induced biases in realized estimators used in jump detection tests and applies non-parametric intraday jump detection tests. The results show a significant increase in trading costs and elevated levels of information asymmetry before observing jumps. Depth, resiliency, and trading activity are associated with the frequency of observing intraday jumps and cojumps. The ability of liquidity variables to predict intraday jumps persists after controlling for news surprises. Results show that intraday jump realizations affect the price discovery of ETFs.

History

Publication Date

2020-06-05

Journal

Journal of Risk and Financial Management

Volume

13

Issue

6

Article Number

ARTN 118

Pagination

20p. (p. 1-20)

Publisher

MDPI

ISSN

1911-8066

Rights Statement

The Author reserves all moral rights over the deposited text and must be credited if any re-use occurs. Documents deposited in OPAL are the Open Access versions of outputs published elsewhere. Changes resulting from the publishing process may therefore not be reflected in this document. The final published version may be obtained via the publisher’s DOI. Please note that additional copyright and access restrictions may apply to the published version.