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Cojumping: Evidence from the US Treasury bond and futures markets

Dungey, M and Hvozdyk, L (2012) 'Cojumping: Evidence from the US Treasury bond and futures markets.' Journal of Banking and Finance, 36 (5). 1563 - 1575. ISSN 0378-4266

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Abstract

The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using formal cojumping tests this paper considers the cojumping behavior of spot and futures prices in high frequency US Treasury data. Cojumping occurs most frequently at shorter maturities and higher sampling frequencies. We find that the probability of cojumping is altered by the presence of an anticipated macroeconomic news announcement. The probability of cojumping is particularly affected by news surprises in non-farm payrolls, CPI, GDP and retail sales. However, the two cojumping tests are also more likely to provide contradictory results in the presence of surprises in non-farm payrolls. On these occasions the market does not clearly signal its short term pricing behavior. © 2012 Elsevier B.V.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Jo Wiltshire
Date Deposited: 18 Sep 2013 12:29
Last Modified: 20 Mar 2018 22:15
URI: http://repository.essex.ac.uk/id/eprint/7616

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