Information arrival, jumps and cojumps in European financial markets: Evidence using tick by tick data

This paper investigates jumps and cojumps in European financial markets employing more than six years of tick by tick data on stock indices, currency and interest rate futures. Using a jump detection measure proposed by Lee and Mykland (2008), we find that while the U.S macroeconomic announcements cause significant jumps on all asset classes, European equity markets are found to be the more sensitive. Moreover, there is a strong correlation between the type of news and orientation of the jumps. We also report significant cojumps caused by the U.S macroeconomic surprises across European stock indices futures. Our time series analysis shows that the frequency and intensity of jumps in European financial markets have increased since the global credit crisis started in 2007. Accordingly, more frequent cojumps are reported across European equity markets after the recent financial slowdown. JEL classification: G13; G14