Macroeconomic news announcements and market efficiency: Evidence from the US Treasury market

被引：5
|
作者：
Lin, Hai [1 ]
Lo, Ingrid [1 ]
Qiao, Rui [2 ]
机构：
[1] Victoria Univ Wellington, Sch Econ & Finance, Level 3,Rutherford House,23 Lambton Quay, Wellington 6011, New Zealand
[2] Capital Univ Econ & Business, Int Sch Econ & Management, 121 Zhangjia Rd, Beijing 100070, Peoples R China
来源：
JOURNAL OF BANKING & FINANCE | 2021年 / 133卷
关键词：
Macroeconomic news; Market efficiency; U; S; treasury market; Market liquidity; Heterogeneous investors; PRICE DISCOVERY; INFORMATIONAL EFFICIENCY; BOND MARKET; MICROSTRUCTURE NOISE; ECONOMIC-NEWS; STOCK; LIQUIDITY; IMPACT; VOLATILITY; INVESTORS;
D O I：
10.1016/j.jbankfin.2021.106252
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We investigate the impact of scheduled macroeconomic news announcements on the U.S. Treasury market's efficiency. Using intraday data and controlling for microstructure noise, we employ a robust method to construct market inefficiency measures. We find that the U.S. Treasury market is less efficient in the five-minute interval before news arrival. Our findings are robust for different sample periods, macroeconomic news announcements, and market inefficiency measures. We find that investor heterogeneity provides a possible explanation for the decreased market efficiency before scheduled news announcements. (c) 2021 Elsevier B.V. All rights reserved.
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页数：22
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