its a brand new cord and for some reasion it does this. http://www.youtube.com/watch?v=YpGUFq_gCZE
try licking the metal ends of both ends. then spin them around if that doesnt work get another cable and try. if the cabe doesnt work polug the amp to another thing and see if it works
are you sure it is not your guitars jack?
Yup, the guitar may not be earthed properly. Have a look inside and make sure th earthing wire (usually attached to the jack plug) is firmly soldered at both ends between jack and tailpiece.