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Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets

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  • Sun, Bianxia
  • Gao, Yang

Abstract

This paper examines the liquidity dynamics around intraday price jumps in the Chinese stock index futures markets by identifying the specific intraday timing of the jumps. The contributions of the liquidity shocks and some pre-scheduled macroeconomic news announcements to intraday jumps are further explored. Three key measures, the number of trades, the open interest change, and the ratio of trading volume to open interest, are found to be the key drivers for intraday jumps. It is the largely increased trading demand, not the withdrawing of market participants, that causes price jumps. Positive jumps seem to bring more speculative trades in the futures market than negative jumps do. The pre-scheduled macro announcements fail to show their significance in driving the intraday jumps.

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  • Sun, Bianxia & Gao, Yang, 2020. "Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
    • Handle: RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119318539
    DOI: 10.1016/j.physa.2019.123308
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    Cited by:

    1. Doureige J. Jurdi, 2020. "Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds," JRFM, MDPI, vol. 13(6), pages 1-19, June.
    2. Rezvan Pourmansouri & Amir Mehdiabadi & Vahid Shahabi & Cristi Spulbar & Ramona Birau, 2022. "An Investigation of the Link between Major Shareholders’ Behavior and Corporate Governance Performance before and after the COVID-19 Pandemic: A Case Study of the Companies Listed on the Iranian Stock," JRFM, MDPI, vol. 15(5), pages 1-30, April.
    3. Hassan Zada & Huma Maqsood & Shakeel Ahmed & Muhammad Zeb Khan, 2023. "Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia," SN Business & Economics, Springer, vol. 3(1), pages 1-22, January.
    4. Yan, Wan-Lin, 2023. "Stock index futures price prediction using feature selection and deep learning," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    5. Hassan Zada & Arshad Hassan & Wing-Keung Wong, 2021. "Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets," Economies, MDPI, vol. 9(2), pages 1-26, June.
    6. Caporin, Massimiliano & Poli, Francesco, 2022. "News and intraday jumps: Evidence from regularization and class imbalance," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).

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