1. Macroeconomic Effects on Stock Jumps
Allison Keane

2. Summary Standardize 13 macro announcements Overnight returns
All released at 8:30 AM
Skt = (Akt – Ekt ) / σk
Overnight returns
Opening price minus closing price from previous day
Computed z-stats for returns
Z = (R-Rm) / σ
Regress returns and announcements
Rt = βkSk,t + εt

3. Announcements and Stocks
PPI
CPI
Durable Goods Orders
Industrial Production
Retail Sales – ex. Auto
Average work week
Unemployment Rate
Hourly Earnings
Nonfarm Payrolls
Capacity Utilization
Business Inventories
Consumer Confidence
PG – Procter and Gamble
F - Ford
GM – General Motors
KFT – Kraft
AIG – American International Group
All overnight returns from

4. PG overnight returns
Mean return = .0036
Standard Dev. = .0037

5. PG Z-stats
21 jump days using 1% significance level

6. KFT Overnight Returns
Mean = .0044
Standard Dev. = .0037

7. KFT Z-Stats
20 overnight jumps

8. Ford
Mean = .0092
St.dev = .0103

9. Ford
26 overnight
jumps

10. AIG
Mean = .0055
St dev = .0069

11. AIG
32 days

13. Rt = βkSk,t + εt