Does News, Order Flow, or Illiquidity drive jumps in stock returns? In the day or in the night?

74 Pages Posted: 30 Nov 2023

See all articles by Yoontae Jeon

Yoontae Jeon

McMaster University - Michael G. DeGroote School of Business

Thomas H. McCurdy

University of Toronto - Rotman School of Management

Stephen Szaura

BI Norwegian School of Business

Date Written: May 1, 2023

Abstract

We investigate how firm-level news, stock illiquidity, and order imbalances are reflected in stock return jumps and idiosyncratic jump risk. We analyze these relationships for the entire day as well as for the daytime and overnight trading periods. Our results show that information flows and trading frictions are significantly related to non-parametric measures of jump intensity and jump-size distributions and reveal variations over the trading day and across individual firms. Our analyses could enrich the economic content of models for stock return dynamics which typically have treated the sources of jumps as latent, and also help identify jumps due to information arrival as opposed to liquidity or strategic trading based on private information.

Keywords: Jumps, News flow, Illiquidity, Overnight Returns

JEL Classification: G10, G14, G19

Suggested Citation

Jeon, Yoontae and McCurdy, Thomas H. and Szaura, Stephen, Does News, Order Flow, or Illiquidity drive jumps in stock returns? In the day or in the night? (May 1, 2023). Available at SSRN: https://ssrn.com/abstract=4637027 or http://dx.doi.org/10.2139/ssrn.4637027

Yoontae Jeon (Contact Author)

McMaster University - Michael G. DeGroote School of Business ( email )

1280 Main Street West
Hamilton, Ontario L8S 4M4
Canada

Thomas H. McCurdy

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6 M5S1S4
Canada
416-978-3425 (Phone)
416-971-3048 (Fax)

HOME PAGE: http://www-2.rotman.utoronto.ca/~tmccurdy

Stephen Szaura

BI Norwegian School of Business ( email )

(47) 406-01-607 (Phone)

HOME PAGE: http://https://www.bi.edu/about-bi/employees/department-of-finance/stephen-walter-szaura/

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
111
Abstract Views
445
Rank
473,207
PlumX Metrics