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dc.contributor.authorHess, Dieter E.en_US
dc.description.abstractIt is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O?Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady flow of information.1 Several studies (e.g. Fleming and Remolona 1997) show that these releases have a very distinct impact on prices. While most of these studies try to find out which releases are significant, considerably less effort has been devoted to the question what makes some releases so important in contrast to others that seem to attract no attention. Papers addressing this question emphasize the content of releases. For example, Edison (1996) discriminates between news related to unexpected inflation and those related to unexpected changes in economic activity. Investigating intraday T-bond futures price responses to surprises in scheduled macroeconomic releases, this paper presents evidence that the type of information is relevant. More specifically, the results suggest that the sequence of releases within a given content category helps to explain their relative importance. In other words, if market participants have already observed some figures on which they can base their assessment of a particular aspect of the economy, then the additional information of another related report should be small, and thus, its impact on prices.en_US
dc.publisherZentrum für Europäische Wirtschaftsforschung (ZEW) Mannheim-
dc.relation.ispartofseriesZEW Discussion Papers 00-61en_US
dc.subject.keywordMacroeconomic newsen_US
dc.subject.keywordscheduled announcementsen_US
dc.subject.keywordpublic informationen_US
dc.subject.keywordprice formationen_US
dc.subject.keywordTreasury bondsen_US
dc.subject.keywordfutures marketen_US
dc.subject.stwStaatliche Informationen_US
dc.titleSurprises in scheduled releases: why do they move the bond market?en_US
dc.typeWorking Paperen_US
Appears in Collections:ZEW Discussion Papers, Zentrum für Europäische Wirtschaftsforschung (ZEW)
Publikationen von Forscherinnen und Forschern des Zentrums für Europäische Wirtschaftsforschung (ZEW)

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