Impact Of Macroeconomic News Announcements Research Articles

Identifying the role of consumer and producer price index announcements in stock index futures price changes

This study examines the impact of Chinese macroeconomic announcements regarding consumer price index (CPI) and producer price index (PPI) on the China Security Index 300 futures. We find that when the surprise direction of CPI news is consistent with that of PPI, the reactions of stock index futures price to CPI announcements are stronger. Considering the heterogeneity of financial institutions, both PPI and CPI announcements have a more significant impact on the price of stock index futures. Furthermore, the impact of macroeconomic news announcements on the price of stock index futures is related to investors’ trust in financial institutions. The news surprise of financial institutions with high forecast accuracy and rich forecasting experience has a more significant effect on stock index futures.

Intraday futures patterns and volume–volatility relationships: the German evidence

This paper examines the intraday behavior of 5-min DAX futures return volatility, volume and transactions, employing data from between January 1999 and September 2011, thus covering major market up and down trends. We focus on the interplay of the above variables finding a W-shape due to US macroeconomic news releases and the opening of US markets. By carefully modeling regular but infrequent events, we show that the last trading days of the FDAX and ODAX have significant impact on volatility and alter the intraday patterns. Additionally, we pay special attention to interactions between the futures and cash market caused by different trading hours at the Eurex. Thereby, we discover a uW-shape lending support for Daigler’s (J Futures Markets 17:45–74, 1997) extended market closure theory. Focusing on possible changes in the interplay of volume and volatility, we empirically analyze the implications of different volume–volatility theories. Finally, we model simultaneously the main volatility components—intraday calendar effects, macroeconomic announcement effects and interday volatility clustering—employing the framework of Andersen and Bollerslev (J Finance 53:219–265, 1998) to quantify and compare the impact of macroeconomic news announcements during contractions and expansions and focus on the economic impact of the crisis 2007/2008 on intraday volatility.

Response to Public Information in Futures Markets: Evidence from the Financial Crisis

This paper examines the impact of macroeconomic news announcements on the Australian stock index futures market during the financial crisis of 2007-2008. The financial crisis is characterized by higher price volatility and trading activity, wider bid-ask spreads and lower depth in the futures market. The responses of price volatility and trading volume to news announcements are more intense and short-lived than before the crisis. Bid-ask spreads widen further around announcements than before the crisis, while depth remains at diminished levels. These results imply that news announcements carry richer information content than before the financial crisis.

Macroeconomic announcements and asymmetric volatility in bond returns

This study analyses the impact of macroeconomic news announcements on the conditional volatility of bond returns. Using daily returns on the 1, 3, 5 and 10 year US Treasury bonds, we find that announcement shocks have a strong impact on the dynamics of bond market volatility. Our results provide empirical evidence that the bond market incorporates the implications of macroeconomic announcement news faster than other information. Moreover, after distinguishing between types of macroeconomic announcements, releases of the employment situation and producer price index are especially influential at the intermediate and long end of the yield curve, while monetary policy seem to affect short-term bond volatility.

What moves option-implied bond market expectations?

This article examines the impact of macroeconomic news announcements on bond market expectations, as measured by option-implied probability distributions of future bond returns. The results indicate that expected bond market volatilities increase in response to higher-than-expected inflation and unemployment announcements. Furthermore, the asymmetries in bond market expectations are found to be affected mostly by surprises in inflation and economic production figures. In particular, it is found that higher-than-expected inflation announcements cause optionimplied bond return distributions to become more negatively skewed or less positively skewed, implying a shift in market participants' perceptions toward future increases in interest rates. Finally, the results indicate that market expectations of future extreme movements in bond prices are virtually unaffected by macroeconomic news releases. Some evidence is found, however, that suggests that after extreme surprises in inflation announcements market participants attach higher probabilities for extreme movements in bond prices. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:817–843, 2005

Do Macroeconomic Announcements Cause Asymmetric Volatility?

In this paper we study the impact of macroeconomic news announcements on the conditional volatility of stock and bond returns. Using daily returns on the S&P 500 index, the NASDAQ index, and the 1 and 10 year U.S. Treasury bonds, some interesting results emerge. Announcement shocks appear to have a strong impact on the (dynamics of) bond and stock market volatility. Our results provide empirical evidence that asymmetric volatility in the Treasury bond market can be largely explained by these macroeconomic announcement shocks. This suggests that the asymmetric volatility found in government bond markets are likely due to misspecification of the volatility model. Because firm-specific news is the most important source of information in the stock market, the asymmetries in stock volatility do not disappear after incorporating macroeconomic announcements into the volatility model. Moreover, by distinguishing FOMC (interest rate) announcements from PPI and EMP (labor market) announcements, we find that both types of announcements are important determinants in explaining the conditional mean and dynamics in volatility.

Do Macroeconomic Announcements Cause Asymmetric Volatility?

In this paper we study the impact of macroeconomic news announcements on the conditional volatility of stock and bond returns. Using daily returns on the S&P 500 index, the NASDAQ index, and the 1 and 10 year U.S. Treasury bonds, for January 1982 - August 2001, some interesting results emerge. Announcement shocks appear to have a strong impact on the (dynamics of) bond and stock market volatility. Our results provide empirical evidence thatasymmetric volatility in the Treasury bond market can be largely explained by these macroeconomic announcement shocks. This suggests that the asymmetric volatility found in government bond markets are likely due to misspecification of the volatility model. After including macroeconomic announcements into the model, the asymmetry disappears. Becausefirm-specific news is the most important source of information in the stock market, the asymmetries in stock volatility do not disappear after incorporating macroeconomic announcements into the volatility model.