The Macroeconomic News Cycle and Uncertainty Resolution

Arjun Chatrath, Rohan Christie-David and William T. Moore
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Arjun Chatrath: University of Portland
Rohan Christie-David: University of Louisville
William T. Moore: University of South Carolina

Journal of Business, 2006, vol. 79, issue 5, pages 2633-2658

Abstract: 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.

Date: 2006

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