The early news catches the attention: On the relative price impact of similar economic indicators

Dieter Hess and Alexandra Niessen

Journal of Futures Markets, 2010, vol. 30, issue 10, 909-937

Abstract: This study investigates why financial markets react to the release of some economic indicators while ignoring others with similar informational content. Based on a Bayesian learning model, we show that the market impact of an economic indicator depends crucially on its early availability. The sequential introduction of the two largest German business surveys provides a natural experiment by which the model's implications are tested empirically. We show that even a large and well‐established indicator loses market impact if a similar indicator is launched and released earlier. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:909–937, 2010

Date: 2010
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