What Makes the Market Jump?

Marcel Prokopczuk    Marcel Prokopczuk, Chardin Wese Simen
05 Dec 2017
Category: General Market Analysis

Country: Australia

Summary:
Using intraday transaction prices and a non-parametric jump test, we show that jumps in the S&P 500 and VIX are low-probability, high-impact events. Extant research investigating the causes of jumps primarily focuses on scheduled macro-announcements. However, we find that unscheduled news, which has so far received little attention, triggers twice as ......


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