How do News Releases and their Information Content affect Bund Futures Prices? An HFD investigation

Franck Moraux () and Arnaud Richard
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Arnaud Richard: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper investigates how macroeconomic announcements impact the price dynamics of the Bund Futures Contract. We use quotes sampled at a one-minute frequency and consider a large set of macroeconomic variables. Our results show that both news releases and the unexpected information content have a significant influence on price dynamics. The difference between values expected by analysts and announced values can explain a substantial fraction of Bund price returns and volatility. However, the two moments behave quite in a different way. Adjustment of returns to news releases is almost instantaneous. The volatility adjustment lasts at leasts few minutes, persistence may be up-to one hour long.

Keywords: High frequency data modelling; Bund Futures contracts; Macroeconomic announcements; News releases; Analysts' forecasts; High frequency data modelling. (search for similar items in EconPapers)
Date: 2010-05
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Published in Seventeenth International Conference 'Forecasting Financial Markets', May 2010, Hannover, Germany. 28 p

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00493911

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