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Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets

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  • Vortelinos, Dimitrios I.
  • Koulakiotis, Athanasios
  • Tsagkanos, Athanasios

Abstract

The present paper, firstly examines the significance of US macroeconomic announcements to the price and volume of three mini-futures markets via three statistical tests. Secondly, the impact of news releases on price and trading volume is studied in an intraday frequency. Thirdly, the significance and magnitude of the response of futures price and volume to the unanticipated surprise and surprise component of a macroeconomic statement is researched. Next, the asymmetric impact is studied upon the magnitude or direction of price and volume.

Suggested Citation

  • Vortelinos, Dimitrios I. & Koulakiotis, Athanasios & Tsagkanos, Athanasios, 2017. "Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 150-168.
    • Handle: RePEc:eee:riibaf:v:39:y:2017:i:pa:p:150-168
    DOI: 10.1016/j.ribaf.2016.07.002
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    Cited by:

    1. Martinez, Valeria & Tse, Yiuman, 2018. "Intraday price discovery analysis in the foreign exchange market of an emerging economy: Mexico," Research in International Business and Finance, Elsevier, vol. 45(C), pages 271-284.
    2. Seok, Sangik & Cho, Hoon & Ryu, Doojin, 2022. "Scheduled macroeconomic news announcements and intraday market sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).

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    More about this item

    Keywords

    News releases; Asymmetries; Mini-futures markets; Intraday;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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