JUMPS, NEWS, AND SUBSEQUENT RETURN DYNAMICS: AN INTRADAY STUDY

Autor:	Yuewen Xiao, Xiangkang Yin, Jing Zhao
Rok vydání:	2020
Předmět:	050208 finance Momentum (finance) Accounting 0502 economics and business 05 social sciences Dynamics (mechanics) Economics Econometrics Equity (finance) 050207 economics Finance
Zdroj:	Journal of Financial Research. 43:705-731
ISSN:	1475-6803 0270-2592
DOI:	10.1111/jfir.12223
Popis:	We detect jumps in a high‐frequency price series of exchange‐traded funds (ETFs) that track the broad indexes of U.S. equity markets. Although many jumps (43%) are related to macroeconomic news, more jumps (57%) are not. No‐news jumps are followed by significant return reversals for at least 60 minutes. The return dynamics after news‐related jumps vary with the news characteristics. Scheduled‐news jumps are followed by reversals, whereas unscheduled‐news jumps are followed by momentum. Whether related to news or not, negative jumps are followed by stronger return reversals than are positive jumps.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::70fa446adea5f11208364ea025f67405 https://doi.org/10.1111/jfir.12223 Zobrazit plný text záznamu Plný text ve formátu PDF