{"id":"https://openalex.org/W2797539271","doi":"https://doi.org/10.1002/fut.21627","title":"S&P 500 Index\u2010Futures Price Jumps and Macroeconomic News","display_name":"S&P 500 Index\u2010Futures Price Jumps and Macroeconomic News","publication_year":2013,"publication_date":"2013-06-24","ids":{"openalex":"https://openalex.org/W2797539271","doi":"https://doi.org/10.1002/fut.21627","mag":"2797539271"},"language":"en","primary_location":{"id":"doi:10.1002/fut.21627","doi":"https://doi.org/10.1002/fut.21627","is_oa":true,"landing_page_url":"https://doi.org/10.1002/fut.21627","pdf_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1002/fut.21627","source":{"id":"https://openalex.org/S136612413","display_name":"Journal of Futures Markets","issn_l":"0270-7314","issn":["0270-7314","1096-9934"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Futures Markets","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1002/fut.21627","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5082984650","display_name":"Hong Miao","orcid":"https://orcid.org/0000-0001-7502-7433","observed_orcids":["https://orcid.org/0000-0001-7502-7433"]},"institutions":[{"id":"https://openalex.org/I92446798","display_name":"Colorado State University","ror":"https://ror.org/03k1gpj17","country_code":"US","type":"education","lineage":["https://openalex.org/I92446798"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Hong Miao","raw_affiliation_strings":["Hong Miao (Assistant Professor), Sanjay Ramchander (Professor), and J. Kenton Zumwalt (Professor) are collocated at the Department of Finance and Real Estate, Colorado State University, Fort Collins, Colorado"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Hong Miao (Assistant Professor), Sanjay Ramchander (Professor), and J. Kenton Zumwalt (Professor) are collocated at the Department of Finance and Real Estate, Colorado State University, Fort Collins, Colorado","institution_ids":["https://openalex.org/I92446798"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5104355820","display_name":"Sanjay Ramchander","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I92446798","display_name":"Colorado State University","ror":"https://ror.org/03k1gpj17","country_code":"US","type":"education","lineage":["https://openalex.org/I92446798"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Sanjay Ramchander","raw_affiliation_strings":["Hong Miao (Assistant Professor), Sanjay Ramchander (Professor), and J. Kenton Zumwalt (Professor) are collocated at the Department of Finance and Real Estate, Colorado State University, Fort Collins, Colorado"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Hong Miao (Assistant Professor), Sanjay Ramchander (Professor), and J. Kenton Zumwalt (Professor) are collocated at the Department of Finance and Real Estate, Colorado State University, Fort Collins, Colorado","institution_ids":["https://openalex.org/I92446798"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5013629640","display_name":"J. Kenton Zumwalt","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I92446798","display_name":"Colorado State University","ror":"https://ror.org/03k1gpj17","country_code":"US","type":"education","lineage":["https://openalex.org/I92446798"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"J. Kenton Zumwalt","raw_affiliation_strings":["Hong Miao (Assistant Professor), Sanjay Ramchander (Professor), and J. Kenton Zumwalt (Professor) are collocated at the Department of Finance and Real Estate, Colorado State University, Fort Collins, Colorado"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Hong Miao (Assistant Professor), Sanjay Ramchander (Professor), and J. Kenton Zumwalt (Professor) are collocated at the Department of Finance and Real Estate, Colorado State University, Fort Collins, Colorado","institution_ids":["https://openalex.org/I92446798"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5082984650"],"corresponding_institution_ids":["https://openalex.org/I92446798"],"apc_list":{"value":3240,"currency":"USD","value_usd":3240},"apc_paid":null,"fwci":5.8185,"has_fulltext":false,"cited_by_count":39,"citation_normalized_percentile":{"value":0.95887931,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"34","issue":"10","first_page":"980","last_page":"1001"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.986299991607666,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.986299991607666,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.005200000014156103,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0035000001080334187,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/price-jumps","display_name":"price jumps","score":0.8870000243186951},{"id":"https://openalex.org/keywords/s-p-500-index-futures","display_name":"S&P 500 futures","score":0.9240000247955322},{"id":"https://openalex.org/keywords/macroeconomic-news","display_name":"macroeconomic news","score":0.9929999709129333},{"id":"https://openalex.org/keywords/consumer-confidence","display_name":"consumer confidence","score":0.8799999952316284}],"concepts":[{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.6792202591896057},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6640860438346863},{"id":"https://openalex.org/C2777382242","wikidata":"https://www.wikidata.org/wiki/Q6017816","display_name":"Index (typography)","level":2,"score":0.6183571815490723},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.5774937272071838},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.4705617427825928},{"id":"https://openalex.org/C178131030","wikidata":"https://www.wikidata.org/wiki/Q631360","display_name":"Price index","level":2,"score":0.4641396403312683},{"id":"https://openalex.org/C96405632","wikidata":"https://www.wikidata.org/wiki/Q1128416","display_name":"Consumer confidence index","level":2,"score":0.4594278335571289},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.4330240488052368},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4264725148677826},{"id":"https://openalex.org/C2778873167","wikidata":"https://www.wikidata.org/wiki/Q59434791","display_name":"Payroll","level":2,"score":0.4210958480834961},{"id":"https://openalex.org/C165556158","wikidata":"https://www.wikidata.org/wiki/Q83937","display_name":"Keynesian economics","level":1,"score":0.31425726413726807},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0852651298046112},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.06346926093101501},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C136764020","wikidata":"https://www.wikidata.org/wiki/Q466","display_name":"World Wide Web","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1002/fut.21627","doi":"https://doi.org/10.1002/fut.21627","is_oa":true,"landing_page_url":"https://doi.org/10.1002/fut.21627","pdf_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1002/fut.21627","source":{"id":"https://openalex.org/S136612413","display_name":"Journal of Futures Markets","issn_l":"0270-7314","issn":["0270-7314","1096-9934"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Futures Markets","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.1927966","doi":"https://doi.org/10.2139/ssrn.1927966","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1927966","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:mountainscholar.org:10217/206891","doi":null,"is_oa":false,"landing_page_url":"https://hdl.handle.net/10217/206891","pdf_url":null,"source":{"id":"https://openalex.org/S4306402292","display_name":"Digital Collections of Colorado (Colorado State University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I92446798","host_organization_name":"Colorado State University","host_organization_lineage":["https://openalex.org/I92446798"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"}],"best_oa_location":{"id":"doi:10.1002/fut.21627","doi":"https://doi.org/10.1002/fut.21627","is_oa":true,"landing_page_url":"https://doi.org/10.1002/fut.21627","pdf_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1002/fut.21627","source":{"id":"https://openalex.org/S136612413","display_name":"Journal of Futures Markets","issn_l":"0270-7314","issn":["0270-7314","1096-9934"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-scientific","cwts-core","erih-plus","fnege-3","jufo-2","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Futures Markets","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W2797539271.pdf"},"referenced_works_count":43,"referenced_works":["https://openalex.org/W1499663703","https://openalex.org/W1963787328","https://openalex.org/W1967516006","https://openalex.org/W1974755307","https://openalex.org/W1989622212","https://openalex.org/W2001340398","https://openalex.org/W2013498925","https://openalex.org/W2013814711","https://openalex.org/W2015800048","https://openalex.org/W2019460681","https://openalex.org/W2030257044","https://openalex.org/W2034241492","https://openalex.org/W2051235503","https://openalex.org/W2056246162","https://openalex.org/W2058479869","https://openalex.org/W2070065251","https://openalex.org/W2078338311","https://openalex.org/W2082330181","https://openalex.org/W2100687269","https://openalex.org/W2105332353","https://openalex.org/W2108519545","https://openalex.org/W2115770250","https://openalex.org/W2125142831","https://openalex.org/W2127009028","https://openalex.org/W2134807435","https://openalex.org/W2140585983","https://openalex.org/W2158120228","https://openalex.org/W2162009965","https://openalex.org/W2171320506","https://openalex.org/W2185726388","https://openalex.org/W2244209167","https://openalex.org/W2891484854","https://openalex.org/W3094392984","https://openalex.org/W3121388661","https://openalex.org/W3122059920","https://openalex.org/W3122511260","https://openalex.org/W3123217382","https://openalex.org/W3123478488","https://openalex.org/W3124264635","https://openalex.org/W3124421093","https://openalex.org/W3124581727","https://openalex.org/W3124652039","https://openalex.org/W4230412795"],"related_works":["https://openalex.org/W2157900836","https://openalex.org/W1974052040","https://openalex.org/W2013814711","https://openalex.org/W2109080673","https://openalex.org/W4244239234","https://openalex.org/W7098770280","https://openalex.org/W7027467993","https://openalex.org/W7098308095","https://openalex.org/W2412136219","https://openalex.org/W7018127768"],"abstract_inverted_index":{"Abstract":[0],"This":[1],"study":[2],"examines":[3],"the":[4,13,32,45,93,99,106],"influence":[5,100],"of":[6,31,44,69,95,101],"macroeconomic":[7],"news":[8,25,56,70,96],"on":[9,105],"price":[10,27,33,85],"discontinuities":[11],"in":[12],"S&P":[14],"500":[15],"index":[16],"futures.":[17],"Results":[18],"document":[19],"a":[20],"strong":[21],"association":[22],"between":[23,35,47],"macro":[24],"and":[26,38,41,50,61,75,98],"jumps.":[28,86],"Over":[29],"three\u2010fourths":[30],"jumps":[34,46],"8:30":[36,59],"am":[37,40,49,52,60],"8:35":[39],"over":[42],"three\u2010fifths":[43],"10:00":[48],"10:05":[51],"are":[53,78],"related":[54,83],"to":[55,80,84],"released":[57],"at":[58],"10:30":[62],"am,":[63],"respectively.":[64],"Notably,":[65],"among":[66],"several":[67],"types":[68],"releases":[71],"considered,":[72],"Non\u2010farm":[73],"Payroll":[74],"Consumer":[76],"Confidence":[77],"found":[79],"be":[81],"significantly":[82],"Our":[87],"findings":[88],"also":[89],"provide":[90],"insights":[91],"into":[92],"speed":[94],"absorption":[97],"alternative":[102],"trading":[103],"platforms":[104],"jump":[107],"return":[108],"behavior.":[109],"\u00a9":[110],"2013":[111],"Wiley":[112],"Periodicals,":[113],"Inc.":[114],"Jrl":[115],"Fut":[116],"Mark":[117],"34:980\u20131001,":[118],"2014":[119]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":8},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":1}],"updated_date":"2026-10-30T12:39:25.321706","created_date":"2018-04-24T00:00:00"}
