Intraday jumps in China's Treasury bond market and macro news announcements
Jing Cui and
Hua Zhao
International Review of Economics & Finance, 2015, vol. 39, issue C, 211-223
Abstract:
This paper utilizes a recently-developed non-parametric method (Bollerslev, Todorov and Li, 2013) to identify high-frequency jump size and timing in China's Treasury bond market and investigates the impact of macro news announcements on price jumps. Our results reveal that jump intensity in China's Treasury bond market represents a W-shaped pattern. Additionally, CPI, PPI, trade balance, GDP, and M2 announcements significantly impact jump probability and sizes. When good news is separated from bad news it is found that good news has a greater impact on jump sizes than bad news for most macro news variables.
Keywords: Bond market; Intraday jump; Jump size; Surprise (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:39:y:2015:i:c:p:211-223
DOI: 10.1016/j.iref.2015.04.006
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