How Markets Process Information: News Releases and Volatility

Journal of Finance - Tập 48 Số 4 - Trang 1161-1191 - 1993
Louis H. Ederington, Jaeha Lee

Tóm tắt

ABSTRACTWe examine the impact of scheduled macroeconomic news announcements on interest rate and foreign exchange futures markets. We find these announcements are responsible for most of the observed time‐of‐day and day‐of‐the‐week volatility patterns in these markets. While the bulk of the price adjustment to a major announcement occurs within the first minute, volatility remains substantially higher than normal for roughly fifteen minutes and slightly elevated for several hours. Nonetheless, these subsequent price adjustments are basically independent of the first minute's return. We identify those announcements with the greatest impact on these markets.

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Tài liệu tham khảo

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Thông tin
Thông tin xuất bản

Journal of Finance

Tập 48 Số 4

1161-1191

Thông tin tác giả