On the impact of macroeconomic news surprises on Treasury-bond returns

Imane El Ouadghiri (), Valérie Mignon () and Nicolas Boitout ()
Additional contact information
Nicolas Boitout: MarketScience

Annals of Finance, 2016, vol. 12, issue 1, No 3, 29-53

Abstract: Abstract This paper investigates the impact of surprises associated with monthly macroeconomic news releases on Treasury-bond returns, by paying particular attention to the moment at which the information is published in the month. Implementing an event study on intraday data, we show that (1) the main bond market movers are based on economic activity and inflation indicators, (2) long-maturity bonds are slightly more impacted by surprises than short-maturity ones, and (3) the bond market is more sensitive to negative surprises than to positive ones. Finally, we find evidence of an empirical monotonic relationship between the surprises’ impact and their corresponding news’ publication date and/or their sign.

Keywords: Bond market; High frequency data; Event study; Macroeconomic news (search for similar items in EconPapers)
JEL-codes: C22 E44 G12 G14 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://link.springer.com/10.1007/s10436-015-0271-3 Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: On the impact of macroeconomic news surprises on Treasury-bond returns (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:annfin:v:12:y:2016:i:1:d:10.1007_s10436-015-0271-3

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/10436/PS2

DOI: 10.1007/s10436-015-0271-3

Access Statistics for this article

Annals of Finance is currently edited by Anne Villamil

More articles in Annals of Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().