The Macroeconomic News Cycle and Uncertainty Resolution
Rohan Christie-David and
William T. Moore
Additional contact information
Arjun Chatrath: University of Portland
Rohan Christie-David: University of Louisville
William T. Moore: University of South Carolina
The Journal of Business, 2006, vol. 79, issue 5, pages 2633-2658
We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond futures market in the context of the monthly macroeconomic news cycle. We advance and confirm the hypothesis that volatility and trading activity are higher in the first half of the month. The data indicate that these patterns arise from at least two sources: (1) a higher level of uncertainty regarding the value of news in announcements in the first half of the month, and (2) improvement in efficiency of macroeconomic forecasts from the first to the second half of the month.
References: Add references at CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
http://www.journals.uchicago.edu/cgi-bin/resolve?JB790513 main text (application/pdf)
Access to the online full text or PDF requires a subscription.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:ucp:jnlbus:v:79:y:2006:i:5:p:2633-2658
Access Statistics for this article
The Journal of Business is currently edited by September
More articles in The Journal of Business from University of Chicago Press
Series data maintained by Journals Division ().