Information Arrival, Jumps and Cojumps in European Financial Markets: Evidence Using Tick by Tick Data

Abstract

This paper investigates jumps and cojumps in European financial markets around the major U.S macroeconomic news announcements employing more than six years of high frequency data on stock indices, currency and interest rate futures. The findings show that while the U.S macroeconomic announcements cause significant jumps on all asset classes, European equity markets are found to be more responsive. Moreover, there is a strong correlation between the type of news and direction of the jumps. Significant cojumps caused by the U.S macroeconomic surprises across European stock indices futures are also reported. The time series analyses show that the European financial markets experienced more frequent and sizeable jumps during the recent global financial crisis. Similarly, more frequent cojumps are also reported across European equity markets during the same period. (JEL: G13, G14)