Intraday jumps and US macroeconomic news announcements

Evans, Kevin Philip

doi:10.1016/j.jbankfin.2011.02.018

Cited by 126 publications

(65 citation statements)

References 39 publications

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“…As pointed out in the data section, the announcement surprises are standardized, so the coecients give the impact of a one standard deviation macroeconomic news surprise. 17 Overall, the coecients support our Table 3 show the amount of stocks which are signicantly (at least on the 10% level) aected by the respective announcement. The later columns show the average of the ve most signicant coecients (rst decile) of the respective announcement.…”

Section: Return Resultssupporting

confidence: 65%

Discovering and Disentangling Effects of US Macro-Announcements in European Stock Markets

Rühl

Stein

2014

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The working papers published in the Series constitute work in progress circulated to stimulate discussion and critical comments. Views expressed represent exclusively the authors' own opinions and do not necessarily refl ect those of the editors. Terms of use: Documents in Ruhr Economic Papers #500

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Section: Return Resultssupporting

confidence: 65%

Discovering and Disentangling Effects of US Macro-Announcements in European Stock Markets

Rühl

Stein

2014

SSRN Journal

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“…The present study examines whether this really happens by scrutinizing the effect of regularly scheduled macroeconomic announcements on systematic cojumps. In linking cojumps to macroeconomic announcements, this study extends the research by Gilder et al (2014), who show that systematic cojumps are related to the timing of macroeconomic 2 announcements and Dungey et al (2009), Evans (2011, Lahaye et al (2011) and Dungey and Hvozdyk (2012), who provide similar findings for cojumps identified separately across individual assets or market indices. Nevertheless, our study differs from previous work in three major respects.…”

Section: Introductionsupporting

confidence: 76%

Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements,

Chan

Bowman²,

Neely

2017

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Abstract:This study provides evidence of common bivariate jumps (i.e., systematic cojumps) between the market index and style-sorted portfolios. Systematic cojumps are prevalent in book-tomarket portfolios and hence, their risk cannot easily be diversified away by investing in growth or value stocks. Nonetheless, large-cap firms have less exposure to systematic cojumps than small-cap firms. Probit regression reveals that systematic cojump occurrences are significantly associated with worse-than-expected scheduled macroeconomic announcements, especially those pertaining to the Federal Funds target rate. Tobit regression shows that Federal Funds news surprises are also significantly related to the magnitude of systematic cojumps. IntroductionEmpirical asset pricing literature typically characterizes the log price process as a combination of continuous and discontinuous sample paths; see, for example, Andersen et al. (2007), Beber and Brandt (2010) and Rangel (2011). Related to these studies, Das and Uppal (2004) define cojumps as infrequent discontinuous sample paths that occur simultaneously across multiple assets (see also Dungey et al., 2009;Lahaye et al., 2011;Dungey and Hvozdyk, 2012). It is important to consider cojumps -in addition to individual jumps -in order to properly diversify portfolios. Das and Uppal (2004) find that cojumps reduce the benefits of portfolio diversification and can expose highly levered portfolios to large losses. Similarly, Cont and Kan (2011) show that cojump is a key determinant in modelling default contagion. In contrast, Pukthuanthong and Roll (2015) find that individual jumps identified across various countries are only weakly correlated, which the authors interpret as suggesting that cross-border diversification could provide reasonable protection against idiosyncratic jumps.The present study characterizes systematic cojumps, which we define as common bivariate jumps in prices between the market index and its component portfolios sorted based on market capitalization (size) and book-to-market (B/M) price ratio. Similarly, Gilder et al. (2014) define simultaneous jumps in the market index and cojumps among the underlying stocks as systematic cojumps. Fundamental portfolio theory suggests that systematic cojumps are non-diversifiable, because common jumps observed across the market portfolio's underlying components are likely due to market-wide news and this news produces jumps in the market portfolio (Bollerslev et al., 2008, p.234; Gilder et al., 2014, p.443). The present study examines whether this really happens by scrutinizing the effect of regularly scheduled macroeconomic announcements on systematic cojumps. In linking cojumps to macroeconomic announcements, this study extends the research by Gilder et al. (2014), who show that systematic cojumps are related to the timing of macroeconomic 2 announcements and Dungey et al. (2009), Evans (2011), Lahaye et al. (2011 and Dungey and Hvozdyk (2012), who provide similar findings for cojumps identified separately across indiv...

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“…Application of these non-parametric tests to various markets has supported the presence of price jumps. For example, jumps in equity indices and individual stocks have been documented in Huang and Tauchen (2005), Andersen et al (2007), Lee and Mykland (2008), Lee and Hannig (2010), Lahaye et al (2011) and Evans (2011), among others. Evidence for the presence of jumps in foreign exchange and Treasury bond markets is given by Dungey et al (2009), Jiang et al (2011) and Dungey and Hvozdyk (2012).…”

Section: Introductionmentioning

confidence: 99%

“…An association between macroeconomic news and the arrival of (co)jumps has been demonstrated in various markets. For example, Dungey et al (2009) and Dungey and Hvozdyk (2012) document a relationship between cojumps and macroeconomic news releases in bond markets; Lahaye et al (2011) investigate cojumps between an equity index, bond index and exchange rates and link them to macroeconomic news announcements; and Evans (2011) demonstrates an association between jumps in equity futures and macroeconomic news. Bajgrowicz and Scaillet (2011) do examine jumps in individual stock prices and demonstrate an association with macroeconomic news, but they rely on the daily BNS jump test and do not distinguish whether such an association exists with systematic cojumps.…”

Section: Introductionmentioning

confidence: 99%

Cojumps in Stock Prices: Empirical Evidence

2012

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We examine contemporaneous jumps (cojumps) among individual stocks and a proxy for the market portfolio. We show, through a Monte Carlo study, that using intraday jump tests and a coexceedance criterion to detect cojumps has a power similar to the cojump test proposed by Bollerslev et al. (2008). However, we also show that we should not expect to detect all common jumps comprising a cojump when using such coexceedance based detection methods. Empirically, we provide evidence of an association between jumps in the market portfolio and cojumps in the underlying stocks. Consistent with our Monte Carlo evidence, moderate numbers of stocks are often detected to be involved in these (systematic) cojumps. Importantly, the results suggest that market-level news is able to generate simultaneous large jumps in individual stocks. We also find evidence of an association between systematic cojumps and Federal Funds Target Rate announcements.

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Intraday jumps and US macroeconomic news announcements

Cited by 126 publications

References 39 publications

Discovering and Disentangling Effects of US Macro-Announcements in European Stock Markets

Discovering and Disentangling Effects of US Macro-Announcements in European Stock Markets

Systematic Cojumps, Market Component Portfolios and Scheduled Macroeconomic Announcements,

Cojumps in Stock Prices: Empirical Evidence

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