Cojumping: Evidence from the US Treasury bond and futures markets

► We detect cojumps in high frequency US Treasury bond and futures returns. ► We find some periods when two cojump tests are in conflict. ► Probability of cojumping is altered by presence of macroeconomic news announcements. ► Surprises in non-farm payrolls, CPI, GDP, retail sales are associated with cojumps. ► Surprises in non-farm payrolls also increase probability of conflicting test results.