Abstract:The macroeconomic news announcements, especially overnight information, not only affect the joint volatility but also the jumps of financial markets. Based on the high frequency data of the CSI 300 index and the stock index futures monthly contracts, the co-jumps between the two markets as well as their overnight feature have been detected through the method of nonparametric jump test. The empirical results show that co-jumps with asymmetry in volatility forecast occur significantly between two markets, whose overnight occurrence can obviously increase the volatility of the next day. The co-jumps between stock index futures and spot markets are usually closely associated with the macroeconomic news announcements that could affect the whole market, most of which are related to accumulation of overnight information. In order to avoid excessive market volatility and achieve financial stability, government agencies and enterprises should control the frequency of macroeconomic news announcements during non-trading hours and reduce uncertainty in policy direction.