This study investigates statistically significant intraday price jumps and cojumps in crude oil and major currency markets (Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, and Swiss franc) and examines their association with U.S. macroeconomic news announcements. By employing high-frequency data and the nonparametric methodology of Lee and Mykland (2008), we identify price discontinuities that reflect market reactions to scheduled news releases. Our findings reveal that the oil market exhibits a greater number of intraday jumps compared to currency markets, though the magnitude of these jumps varies significantly. Negative jumps in oil prices are typically larger than positive jumps, reflecting asymmetric responses to market conditions. Additionally, while the probability of cojumps involving oil and currencies is relatively low, currency pairs frequently exhibit simultaneous jumps. Among macroeconomic variables, Federal Reserve target interest rate decisions and non-farm payroll announcements are the most significant drivers of intraday jumps. More importantly, CPI, trade balance, non-farm payroll, FOMC decisions, retail sales, business inventories, and personal income announcement (FOMC and non-farm payroll announcements) surprises are the significant factors impacting intraday currency jumps (cojumps). The analysis also distinguishes between economically significant jumps and minor price fluctuations, emphasizing how high-frequency trading algorithms utilize jump detection for timely decision-making, and how these insights support short-term market forecasting and risk management strategies.
