This paper uses two highly liquid SP 500 and gold exchange-traded funds (ETFs) toevaluate the impact of liquidity and macroeconomic news surprises on the frequency of observingintraday jumps. It explicitly addresses market microstructure noise-induced biases in realizedestimators used in jump detection tests and applies non-parametric intraday jump detection tests.The results show a significant increase in trading costs and elevated levels of information asymmetrybefore observing jumps. Depth, resiliency, and trading activity are associated with the frequency ofobserving intraday jumps and cojumps. The ability of liquidity variables to predict intraday jumpspersists after controlling for news surprises. Results show that intraday jump realizations affectthe price discovery of ETFs.
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