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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doaj-bafe34a29b2d45898a796ce9ffa372822020-11-25T03:53:59ZengMDPI AGJournal of Risk and Financial Management1911-80661911-80742020-06-011311811810.3390/jrfm13060118Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded FundsDoureige J. Jurdi0Department of Economics and Finance, La Trobe University, Melbourne, VIC 3086, AustraliaThis 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 jump detection tests and applies non-parametric intraday jump detection tests. The results show a significant increase in trading costs and elevated levels of information asymmetry before observing jumps. Depth, resiliency, and trading activity are associated with the frequency of observing intraday jumps and cojumps. The ability of liquidity variables to predict intraday jumps persists after controlling for news surprises. Results show that intraday jump realizations affect the price discovery of ETFs.https://www.mdpi.com/1911-8074/13/6/118intraday jumpsmacroeconomic announcementsliquidityexchange-traded fundsmarket microstructure noiseprice discovery |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Doureige J. Jurdi |
spellingShingle |
Doureige J. Jurdi Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds Journal of Risk and Financial Management intraday jumps macroeconomic announcements liquidity exchange-traded funds market microstructure noise price discovery |
author_facet |
Doureige J. Jurdi |
author_sort |
Doureige J. Jurdi |
title |
Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds |
title_short |
Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds |
title_full |
Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds |
title_fullStr |
Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds |
title_full_unstemmed |
Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds |
title_sort |
intraday jumps, liquidity, and u.s. macroeconomic news: evidence from exchange traded funds |
publisher |
MDPI AG |
series |
Journal of Risk and Financial Management |
issn |
1911-8066 1911-8074 |
publishDate |
2020-06-01 |
description |
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 jump detection tests and applies non-parametric intraday jump detection tests. The results show a significant increase in trading costs and elevated levels of information asymmetry before observing jumps. Depth, resiliency, and trading activity are associated with the frequency of observing intraday jumps and cojumps. The ability of liquidity variables to predict intraday jumps persists after controlling for news surprises. Results show that intraday jump realizations affect the price discovery of ETFs. |
topic |
intraday jumps macroeconomic announcements liquidity exchange-traded funds market microstructure noise price discovery |
url |
https://www.mdpi.com/1911-8074/13/6/118 |
work_keys_str_mv |
AT doureigejjurdi intradayjumpsliquidityandusmacroeconomicnewsevidencefromexchangetradedfunds |
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