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

Sun，Bianxia1; Gao，Yang2

2020-03-01

10.1016/j.physa.2019.123308

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS   影响因子和分区

0378-4371

1873-2119

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.

Intraday jump Macroeconomic announcements Market liquidity Order-driven market

SCI ; SSCI ; EI

英语

第一

Science Foundation of China University of Petroleum, Beijing[17JDGLB018] ; National Natural Science Foundation of China[61603010]

Physics

Physics, Multidisciplinary

WOS:000514758600040

Elsevier B.V.

20194807740903

Financial markets

PHYSICS

2-s2.0-85075470796

Scopus

1.Department of Finance,Southern University of Science and Technology,Shenzhen,518055,China
2.Research Base of Beijing Modern Manufacturing Development,College of Economics and Management,Beijing University of Technology,Beijing,100124,China

Sun，Bianxia,Gao，Yang. Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS,2020,541.

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,541.

Sun，Bianxia,et al."Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets".PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS 541(2020).