Abstract
• This paper investigates the impact of scheduled macroeconomic news announcements on the U.S. Treasury market’s efficiency. • This paper employs a robust method to construct market inefficiency measures using intraday data and controlling for microstructure noise. • The U.S. Treasury market is less efficient in the five-minute interval before news arrival. • Investor heterogeneity provides a possible explanation for the decreased market efficiency before scheduled news announcements. 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.
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