Intraday jumps in China's Treasury bond market and macro news announcements

•The study examines high-frequency jump size and timing in China's Treasury bond market.•Treasury bond jumps occur very frequently and jump intensity represents a W-shaped pattern.•Macro news announcements have both lead and lag effects on jump probability and sizes.•There are asymmetric effects of macro news announcements on intraday jumps.

This paper utilizes a recently-developed non-parametric method (Bollerslev, Todorov and Li, 2013) to identify high-frequency jump size and timing in China's Treasury bond market and investigates the impact of macro news announcements on price jumps. Our results reveal that jump intensity in China's Treasury bond market represents a W-shaped pattern. Additionally, CPI, PPI, trade balance, GDP, and M2 announcements significantly impact jump probability and sizes. When good news is separated from bad news it is found that good news has a greater impact on jump sizes than bad news for most macro news variables.