Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component

Stavros Degiannakis, George Filis and Stefanos Tsemperlidis

MPRA Paper from University Library of Munich, Germany

Abstract: The role of information flows for the formation of assets prices remains an open question despite the extensive literature concerning this issue. This is due (i) to the high complexity of markets themselves, (ii) the proliferation of information flows and (iii) the difficulties in determining the effects of information on financial markets. In the current study we identify the announcements that trigger substantial changes in the behavior of the 10-year US Treasury bond market, without using the surprise component and, therefore, expectational data, which are expensive and dubious. To do so, we use a novel model-free approach based on extreme market movements. Our findings corroborate those of previous studies, which were based on expectational data. More importantly, though, we identify two additional announcements (Oil Inventories and the Mortgage Applications), which have not been previously reported. These findings are primarily important to financial analysts and investors.

Keywords: US Treasury market; economic announcements; event studies. (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2018-11-14
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https://mpra.ub.uni-muenchen.de/96451/1/MPRA_paper_94176.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:94176

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