We detect jumps in a high‐frequency price series of exchange‐traded funds (ETFs) that track the broad indexes of U.S. equity markets. Although many jumps (43%) are related to macroeconomic news, more jumps (57%) are not. No‐news jumps are followed by significant return reversals for at least 60 minutes. The return dynamics after news‐related jumps vary with the news characteristics. Scheduled‐news jumps are followed by reversals, whereas unscheduled‐news jumps are followed by momentum. Whether related to news or not, negative jumps are followed by stronger return reversals than are positive jumps.

中文翻译：

---

跳跃，新闻和随后的回报动力学：日内研究

我们发现追踪美国股票市场广泛指数的交易所交易基金（ETF）的高频价格系列出现跳跃。尽管许多跳跃（43％）与宏观经济新闻有关，但更多的跳跃（57％）与宏观经济新闻无关。在没有新闻的情况下，至少要有60分钟的重大收益反转。与新闻相关的跳跃之后的收益动态随新闻特征而变化。计划外新闻跳跃之后是逆转，而计划外新闻跳跃之后是动量。不管是否与新闻相关，负跃迁之后的回报反转都比正跃迁更大。