arXiv 24 Mar 2026 · Econometrics
arXiv:2603.22835 · PDF · DOI · OpenAlex · Extracted main text
This paper examines how regulatory interventions in high-frequency financial markets affect price discovery. We focus on Breaking news, where dynamic circuit breakers trigger trading halts immediately after the release of macroeconomic fundamentals. Within a high-frequency signal-in-noise model, we show that triggering rules complicate statistical inference for the price impact of news, rendering conventional non-parametric jump estimators inconsistent. Building on this insight, we develop a regression-based test for fundamental pricing that accounts for non-vanishing transition times. The test compares transition price changes to efficient jumps implied by observable factors. Our empirical analysis of CME E-mini S&P 500 futures shows that Breaking news are associated with systematic deviations from fundamental pricing, predominantly in the form of overshooting. Our findings highlight a regulatory trade-off: the appeal of simple and transparent circuit breaker rules must be weighed against their cost of preventing fundamentals from being priced contemporaneously, thereby creating adverse incentives and introducing distortions.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Torben G. Andersen and Yingying Li and Viktor Todorov and Bo Zhou (2023) Volatility measurement with pockets of extreme return persistence | 0.843 | 3 | 3 | 100% |
| 2 | Suzanne S. Lee and Per A. Mykland (2012) Jumps in equilibrium prices and market microstructure noise | 0.811 | 4 | 2 | 100% |
| 3 | Markus Bibinger and Christopher Neely and Lars Winkelmann (2019) Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book self | 0.737 | 3 | 2 | 100% |
| 4 | Jean Jacod and Yingying Li and Per A. Mykland and Mark Podolskij and… (2009) Microstructure noise in the continuous case: The pre-averaging approach | 0.644 | 2 | 2 | 100% |
| 5 | Torben G. Andersen and Tim Bollerslev and Francis X. Diebold and Cla… (2003) Micro effects of macro announcements: Real-time Micro effects of macro announcements: Real-time price discovery in foreign excha… | 0.405 | 1 | 1 | 100% |
| 6 | A\"it-Sahalia, Yacine and Xiu, Dacheng (2019) A Hausman test for the presence of market microstructure noise in high frequency data | 0.405 | 1 | 1 | 100% |
| 7 | Benamar, Hedi and Foucault, Thierry and Vega, Clara (2021) Demand for information, uncertainty, and the response of US Treasury securities to news | 0.405 | 1 | 1 | 100% |
| 8 | Dion Bongaerts and Sarah D. De Luca and Mark Van Achter (2024) Circuit breakers and market runs | 0.405 | 1 | 1 | 100% |
| 9 | Markus Bibinger and Lars Winkelmann (2018) Common price and volatility jumps in noisy high-frequency data self | 0.405 | 1 | 1 | 100% |
| 10 | Kim Christensen and Roel Oomen and Roberto Renò (2022) The drift burst hypothesis | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 19 scored citations.