Reaction of the U.S. Treasury market to economic news when intrapersonal uncertainty and interpersonal disagreement are high

Onem Ozocak

The North American Journal of Economics and Finance, 2025, vol. 76, issue C

Abstract: Recent research has delved into how individual differences in beliefs impact how the market responds to public news. This latest study takes it a step further by incorporating the differences in beliefs between people and the uncertainty that individuals feel about their own understanding of the market. The study then assesses how the two factors impact the reaction of U.S. Treasuries to economic news. When both types of belief disparities are high, there are surprising findings. For instance, the effect of order flow on price changes becomes less pronounced, as does the impact of economic news on realized volatility. Additionally, there is less correlation between trading volume and volatility. Another interesting observation is the presence of significant post-news price drift.

Keywords: Macroeconomic news; U.S. Treasuries; Belief dispersion (search for similar items in EconPapers)
JEL-codes: E43 G12 G14 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002821

DOI: 10.1016/j.najef.2024.102357

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