# The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach

**Authors:** Juho Kanniainen, Ye Yue  
**arXiv:** [1901.02691](https://arxiv.org/abs/1901.02691)  
**Date:** 2019-01-09  
**Summary page:** https://www.summarizepaper.com/en/paper/1901.02691v1/

## Key points

- Authors Juho Kanniainen and Ye Yue introduce a non-parametric framework for analyzing the impact of news events on stock price dynamics
- Research focuses on company and macroeconomic announcements, investigating pre- and post-event jump dynamics under intraday seasonality
- Effectiveness of framework demonstrated using data from S&P 500 index ETF (SPY) and Nasdaq Nordic Large-Cap stocks
- Non-scheduled company announcements and certain macroeconomic releases lead to jumps in stock prices following the news
- Pre-jumps observed before scheduled public information release, suggesting potential non-gradual information leakage
- Interim reports of Nordic large-cap companies contain significant information leading to price jumps, emphasizing timely and accurate reporting importance
- Reactions to unexpected information vary across Nasdaq Nordic markets despite being operated jointly, highlighting complexity in interpreting news-related events within different financial contexts

## Summary

In their paper titled "The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach," authors Juho Kanniainen and Ye Yue introduce a non-parametric framework for analyzing the impact of news events on stock price dynamics. Their research focuses on company and macroeconomic announcements and investigates how these events contribute to pre- and post-event jump dynamics under the intraday seasonality of news and jumps. The authors demonstrate the effectiveness of their framework by studying data from the S&P 500 index ETF, SPY, in relation to macroeconomic announcements, as well as Nasdaq Nordic Large-Cap stocks with both scheduled and non-scheduled company announcements. Their analysis reveals compelling evidence that non-scheduled company announcements and certain macroeconomic releases lead to jumps in stock prices following the news. They also find indications of pre-jumps occurring before scheduled public information is released, suggesting potential non-gradual information leakage. Of particular interest are the findings related to interim reports of Nordic large-cap companies, which are shown to contain significant information leading to price jumps. This highlights the importance of timely and accurate reporting for market reactions. Additionally, the study highlights that reactions to unexpected information vary across Nasdaq Nordic markets despite being operated jointly and governed by the same exchange rules. This disparity in market responses underscores the complexity and nuances involved in interpreting news-related events within different financial contexts. Overall, this research provides valuable insights into how news arrivals influence stock market dynamics and sheds light on the heterogeneous nature of market reactions to unexpected information releases.