Abstract
This paper studies the impact of major U.S. macroeconomic news releases on price movements of selected instruments in asset classes including equity, foreign exchange, and fixed income over different time spans within a day. The results show that U.S. macroeconomic news surprises affect different asset classes to varying degrees. Price movements of long-term U.S. Treasury bond yield return and news surprises of non-farm payroll, as well as ADP employment change are positively correlated. The impact is also higher within five minutes after release. The results are consistent with earlier research which shows the bond market reacts more to macroeconomic news. Such information can help traders with risk management and alpha generation when trade macroeconomic data. The paper also examines recent news about equity performance on employment data which shows they are not always consistent.
Published Version
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