  This paper introduces a non-parametric framework to statistically examine how
news events, such as company or macroeconomic announcements, contribute to the
pre- and post-event jump dynamics of stock prices under the intraday
seasonality of the news and jumps. We demonstrate our framework, which has
several advantages over the existing methods, by using data for i) the S&P 500
index ETF, SPY, with macroeconomic announcements and ii) Nasdaq Nordic
Large-Cap stocks with scheduled and non-scheduled company announcements. We
provide strong evidence that non-scheduled company announcements and some
macroeconomic announcements contribute jumps that follow the releases and also
some evidence for pre-jumps that precede the scheduled arrivals of public
information, which may indicate non-gradual information leakage. Especially
interim reports of Nordic large-cap companies are found containing important
information to yield jumps in stock prices. Additionally, our results show that
releases of unexpected information are not reacted to uniformly across Nasdaq
Nordic markets, even if they are jointly operated and are based on the same
exchange rules.
