Cojumps in China's spot and stock index futures markets

•The paper investigates high-frequency cojumps in China's spot and stock index futures markets.•There is approximately a one-third probability of cojumping when jumps occur in either spot market or futures market.•The jump covariation attributable to cojump can significantly result in the covariance forecast improvements.•Many of macroeconomic announcements are closely associated with cojumps.

This paper extracts high-frequency cojumps across China's spot and futures markets to examine the characteristics of cojumps as well as their association with macroeconomic news announcements. The results indicate that there occur significant cojumps and that there is approximately a one-third probability of cojumping when jumps occur in the spot/futures market. The jump covariation attributable to cojump appears more erratic and less persistent than the realized covariance and significantly improves the covariance forecasts. Moreover, we find that electricity consumption, industrial profit, GDP, fixed investment, industrial value-added and retail sales announcements significantly impact cojumps.