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File name: SSRN-id1927966. ; Size: 486K
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Information Driven Price Jumps and Trading Strategy: Evidence from Stock Index Futures
Hong Miao
Colorado State University - Department of Finance & Real Estate
Sanjay Ramchander
Colorado State University - Department of Finance & Real Estate
J. Kenton Zumwalt
Colorado State University - Department of Finance & Real Estate
September 15, 2011
Midwest Finance Association 2012 Annual Meetings Paper
Abstract:
This paper identifies intraday price jumps in equity index futures and examines the association between jump returns and macroeconomic announcements. We also evaluate the profitability of a high-frequency trading rule. Results indicate that about 48% to 56% of jump returns between 10:00-10:01 am can be attributed to the release of at least one 10:00 am announcement. About 70-80% of the top twenty jumps identified during the sample period at this time interval can be tagged with the 10:00 am releases. Finally, after accounting for transaction costs, returns from 1-minute holding positions aggregated over the 10-year sample period range between 16-29%.
Number of Pages in PDF File: 47
Keywords: Macroeconomic News, Jumps, Index Futures, Trading Strategy
JEL Classification: G10, G14
working papers series
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Date posted: September 15, 2011
Suggested CitationMiao, Hong, Ramchander, Sanjay and Zumwalt, J. Kenton, Information Driven Price Jumps and Trading Strategy: Evidence from Stock Index Futures (September 15, 2011). Midwest Finance Association 2012 Annual Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1927966 or http://dx.doi.org/10.2139/ssrn.1927966
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