S&P 500 Index‐Futures Price Jumps and Macroeconomic News

27 Pages Posted: 15 Sep 2011 Last revised: 11 Feb 2018

See all articles by Hong Miao

Hong Miao

Colorado State University, Fort Collins - Department of Finance & Real Estate

Sanjay Ramchander

Colorado State University, Fort Collins - Department of Finance & Real Estate

J. Kenton Zumwalt

Colorado State University, Fort Collins - Department of Finance & Real Estate

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Date Written: February 4, 2013

Abstract

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

Miao, Hong and Ramchander, Sanjay and Zumwalt, J. Kenton, S&P 500 Index‐Futures Price Jumps and Macroeconomic News (February 4, 2013). Journal of Futures Markets, 36, 980-1001, 2014, Available at SSRN: https://ssrn.com/abstract=1927966 or http://dx.doi.org/10.2139/ssrn.1927966

Hong Miao

Colorado State University, Fort Collins - Department of Finance & Real Estate ( email )

Fort Collins, CO 80523
United States

Sanjay Ramchander (Contact Author)

Colorado State University, Fort Collins - Department of Finance & Real Estate ( email )

Fort Collins, CO 80523
United States
970-491-6681 (Phone)

J. Kenton Zumwalt

Colorado State University, Fort Collins - Department of Finance & Real Estate ( email )

Fort Collins, CO 80523
United States

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