What triggers intraday price jumps and co-jumps in gold?

Neharika Sobti

International Review of Financial Analysis, 2025, vol. 105, issue C

Abstract: What factors predict intraday price jumps and co-jumps in gold markets? Using high-frequency data, we find that intraday price jumps and co-jumps in gold are very rare yet extreme events with a probability of 0.43 %, while daily jumps occur with a probability of 32 %. Gold futures showcase a greater number of intraday jumps than gold ETFs. Positive jumps (0.22 %) are more frequent than negative jumps (0.20 %), while negative jumps (−1.78 %) have greater size than positive jumps (1.59 %). Using intraday event study and penalized regressions, we find the asymmetric yet heterogenous impact of news and social media-based market psych aspects (attention, sentiments, emotions). News attention predicts negative jumps, while social media attention predicts positive jumps. News emotions are the dominant predictor of jumps and co-jumps, especially during news. Negative news sentiments predict negative jumps, while positive social media sentiments predict positive jumps. US macroeconomic news predicts 34 % intraday price jumps in gold markets, with the FOMC rate decision being the dominant news surprise. Liquidity aspects like trading activity, transaction cost, and order imbalance showcase high predictability for jumps and co-jumps. Exchange rate volatility and stock market uncertainty prove to significantly cause price jumps and co-jumps in gold. Jump spillover analysis confirms that news attention is the largest net transmitter of jump spillovers while news sentiments and social emotions are the largest net receiver of jumps.

Keywords: Price jumps; Gold; Market psych; Liquidity; Macroeconomic news; Jump spillovers (search for similar items in EconPapers)
JEL-codes: G1 G10 G12 G14 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004673

DOI: 10.1016/j.irfa.2025.104380

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