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Dark trading and informational efficiency around macroeconomic news arrivals: Evidence from the U.S. Treasury market

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  • Lin, Hai
  • Qiao, Rui

Abstract

This letter investigates whether scheduled macroeconomic news announcements influence the market dark trading activities and how dark trading affects market efficiency around the news arrivals. We provide empirical evidence that the workup trading activities increase significantly after scheduled news arrivals, and the impact of news weakens after five minutes. We also find that dark trading decreases informational efficiency. Additionally, we find that the U.S. Treasury market incorporates new information very quickly, and the market efficiency is improved after news announcements.

Suggested Citation

  • Lin, Hai & Qiao, Rui, 2026. "Dark trading and informational efficiency around macroeconomic news arrivals: Evidence from the U.S. Treasury market," Economics Letters, Elsevier, vol. 260(C).
    • Handle: RePEc:eee:ecolet:v:260:y:2026:i:c:s0165176526000029
    DOI: 10.1016/j.econlet.2026.112808
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    References listed on IDEAS

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