S&P 500 Index-Futures Price Jumps and Macroeconomic News
نویسندگان
چکیده
منابع مشابه
Macroeconomic News Announcements, Financial Market Volatility and Jumps
This paper studies the financial market responses to macroeconomic news announcements, in the form of volatility and jumps. The traditional empirical literature using daily or lower-frequency data finds mixed or relatively weak evidence of big price movements during the announcement periods, which seems to falsify the efficient market hypothesis. However, with the advance of high frequency data...
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ژورنال
عنوان ژورنال: Journal of Futures Markets
سال: 2013
ISSN: 0270-7314
DOI: 10.1002/fut.21627