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.<p></p>
Publication Date
2020-01-01Journal
Journal of Financial ResearchVolume
43Issue
3Article Number
jfir.12223Pagination
27p. (p. 705-731)Publisher
WileyISSN
0270-2592Rights Statement
© 2020 The Southern Finance Association and the Southwestern Finance Association
This is the peer reviewed version of the following article: Xiao Y; Yin X & Zhao J (2020). Jumps, news, and subsequent return dynamics: an intraday study. Journal of Financial Research, 43(3), 705-731, which has been published in final form at http://doi.org/10.1111/jfir.12223. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited.
