Lecture Schedule: 13:00-14:00 pm, october 19, 2021
Location：Lecture Hall, Second Conference Room, 4th Floor, Building A, Economic Management Building
Abstract: Extreme price movements (i.e., jumps) are prominent phenomena in financial markets. Understanding jump behavior is crucial to addressing fundamental finance issues, such as asset pricing and the return–risk relation. News is considered a dominant driver of price movements. News with different characteristics may induce different market reactions. There are abundant empirical studies on short‐term reversals after major price shocks. Our analysis differs from these studies because we relate returns following extreme price shocks to macroeconomic news announcements. Our results demonstrate that the impacts of price jumps on the subsequent return dynamics vary depending on the nature of the jumps and particularly on their association with news releases. No‐news jumps are followed by significant return reversals. The return dynamics after news‐related jumps vary with the news characteristics.
Reporter: XIAO Yuewen
