Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets

Bianxia Sun and Yang Gao

Physica A: Statistical Mechanics and its Applications, 2020, vol. 541, issue C

Abstract: This paper examines the liquidity dynamics around intraday price jumps in the Chinese stock index futures markets by identifying the specific intraday timing of the jumps. The contributions of the liquidity shocks and some pre-scheduled macroeconomic news announcements to intraday jumps are further explored. Three key measures, the number of trades, the open interest change, and the ratio of trading volume to open interest, are found to be the key drivers for intraday jumps. It is the largely increased trading demand, not the withdrawing of market participants, that causes price jumps. Positive jumps seem to bring more speculative trades in the futures market than negative jumps do. The pre-scheduled macro announcements fail to show their significance in driving the intraday jumps.

Keywords: Intraday jump; Market liquidity; Macroeconomic announcements; Order-driven market (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119318539

DOI: 10.1016/j.physa.2019.123308

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