This　paper　examines　the　liquidity　dynamics　around　intraday　price　jumps　in　the　Chinese　stock　index　futures　markets　by　identifying　the　specific　intraday　timing　of　the　jumps.　The　contributions　of　the　liquidity　shocks　and　some　pre-scheduled　macroeconomic　news　announcements　to　intraday　jumps　are　further　explored.　Three　key　measures,　the　number　of　trades,　the　open　interest　change,　and　the　ratio　of　trading　volume　to　open　interest,　are　found　to　be　the　key　drivers　for　intraday　jumps.　It　is　the　largely　increased　trading　demand,　not　the　withdrawing　of　market　participants,　that　causes　price　jumps.　Positive　jumps　seem　to　bring　more　speculative　trades　in　the　futures　market　than　negative　jumps　do.　The　pre-scheduled　macro　announcements　fail　to　show　their　significance　in　driving　the　intraday　jumps.　(C)　2019　Elsevier　B.V.　All　rights　reserved.