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Cojumping: Evidence from the US Treasury bond and futures markets


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

Copyright Statement

Copyright 2012 Elsevier B.V.

DOI: doi:10.1016/j.jbankfin.2012.01.005


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.

Item Details

Item Type:Refereed Article
Keywords:US Treasury markets, higher frequency data, cojump test
Research Division:Economics
Research Group:Applied economics
Research Field:Macroeconomics (incl. monetary and fiscal theory)
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Monetary policy
UTAS Author:Dungey, M (Professor Mardi Dungey)
ID Code:80569
Year Published:2012
Web of Science® Times Cited:43
Deposited By:Economics and Finance
Deposited On:2012-11-02
Last Modified:2018-04-05

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