JUMPS, NEWS, AND SUBSEQUENT RETURN DYNAMICS: AN INTRADAY STUDY. (25th August 2020)
- Record Type:
- Journal Article
- Title:
- JUMPS, NEWS, AND SUBSEQUENT RETURN DYNAMICS: AN INTRADAY STUDY. (25th August 2020)
- Main Title:
- JUMPS, NEWS, AND SUBSEQUENT RETURN DYNAMICS: AN INTRADAY STUDY
- Authors:
- Xiao, Yuewen
Yin, Xiangkang
Zhao, Jing - Abstract:
- 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.
- Is Part Of:
- Journal of financial research. Volume 43:Number 3(2020)
- Journal:
- Journal of financial research
- Issue:
- Volume 43:Number 3(2020)
- Issue Display:
- Volume 43, Issue 3 (2020)
- Year:
- 2020
- Volume:
- 43
- Issue:
- 3
- Issue Sort Value:
- 2020-0043-0003-0000
- Page Start:
- 705
- Page End:
- 731
- Publication Date:
- 2020-08-25
- Subjects:
- Finance -- Periodicals
Investments -- Periodicals
332 - Journal URLs:
- http://www.blackwellpublishing.com/journal.asp?ref=0270-2592&site=1 ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/jfir.12223 ↗
- Languages:
- English
- ISSNs:
- 0270-2592
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 4984.265000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 13928.xml