Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds
This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to evaluate the impact of liquidity and macroeconomic news surprises on the frequency of observing intraday jumps. It explicitly addresses market microstructure noise-induced biases in realized estimators used in jum...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-06-01
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| Series: | Journal of Risk and Financial Management |
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| Online Access: | https://www.mdpi.com/1911-8074/13/6/118 |