Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market

Hai Lin, Ingrid Lo and Rui Qiao

Journal of Banking & Finance, 2021, vol. 133, issue C

Abstract: 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.

Keywords: Macroeconomic news; Market efficiency; U.S. treasury market; Market liquidity; Heterogeneous investors (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002119

DOI: 10.1016/j.jbankfin.2021.106252

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