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

Authors

  • Hong Miao,

    Corresponding author
    1. Hong Miao (Assistant Professor), Sanjay Ramchander (Professor), and J. Kenton Zumwalt (Professor) are collocated at the Department of Finance and Real Estate, Colorado State University, Fort Collins, Colorado
    • Correspondence author, Department of Finance and Real Estate, Colorado State University, Fort Collins, CO. Tel: +970-491-2356, Fax: +970-491-7665, e-mail: hong.miao@colostate.edu

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  • Sanjay Ramchander,

    1. Hong Miao (Assistant Professor), Sanjay Ramchander (Professor), and J. Kenton Zumwalt (Professor) are collocated at the Department of Finance and Real Estate, Colorado State University, Fort Collins, Colorado
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  • J. Kenton Zumwalt

    1. Hong Miao (Assistant Professor), Sanjay Ramchander (Professor), and J. Kenton Zumwalt (Professor) are collocated at the Department of Finance and Real Estate, Colorado State University, Fort Collins, Colorado
    Search for more papers by this author

  • We thank Professor Robert I. Webb (the editor) and an anonymous referee for their extensive comments and suggestions on our research. Any remaining errors belong to the authors.

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. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:980–1001, 2014

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