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Cojumping: Evidence from the US Treasury bond and futures markets
journal contributionposted on 2023-05-17, 14:05 authored by Dungey, M, Hvozdyk, L
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 nonfarm payrolls. On these occasions the market does not clearly signal its short term pricing behavior.
Publication titleJournal of Banking and Finance
PublisherElsevier Science Bv
Place of publicationPo Box 211, Amsterdam, Netherlands, 1000 Ae
Rights statementCopyright 2012 Elsevier B.V.