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Yuewen Xiao, Xiangkang Yin and Jing Zhao

Journal of Financial Research, 2020, vol. 43, issue 3, 705-731

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.

Date: 2020
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