S&P 500 Index‐Futures Price Jumps and Macroeconomic News
27 Pages Posted: 15 Sep 2011 Last revised: 11 Feb 2018
Date Written: February 4, 2013
This study examines the influence of macroeconomic news on price discontinuities in the S&P 500 index futures. Results document a strong association between macro news and price jumps. Over three‐fourths of the price jumps between 8:30 am and 8:35 am and over three‐fifths of the jumps between 10:00 am and 10:05 am are related to news released at 8:30 am and 10:30 am, respectively. Notably, among several types of news releases considered, Non‐farm Payroll and Consumer Confidence are found to be significantly related to price jumps. Our findings also provide insights into the speed of news absorption and the influence of alternative trading platforms on the jump return behavior.
Keywords: Macroeconomic News, Jumps, Index Futures, Trading Strategy
JEL Classification: G10, G14
Suggested Citation: Suggested Citation