Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets
Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets
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DOI：
10.1016/j.physa.2019.123308
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发表时间：
2020-03
影响因子：
3.3
通讯作者：
Bianxia Sun;Yang Gao
中科院分区：
文献类型：
--
作者：
Bianxia Sun;Yang Gao
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.
