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Impact of macroeconomic news on metal futures

Author

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  • Elder, John
  • Miao, Hong
  • Ramchander, Sanjay

Abstract

This paper uses intra-day data for the period 2002 through 2008 to examine the intensity, direction, and speed of impact of US macroeconomic news announcements on the return, volatility and trading volume of three important commodities – gold, silver and copper futures. We find that the response of metal futures to economic news surprises is both swift and significant, with the 8:30am set of announcements – in particular, nonfarm payrolls and durable goods orders – having the largest impact. Furthermore, announcements that reflect an unexpected improvement in the economy tend to have a negative impact on gold and silver prices; however, they tend to have a positive effect on copper prices. In comparison, realized volatility and volume for all three metals are positively influenced by economic news. Finally, there is evidence that several news announcements exert an asymmetric impact on market activity variables.

Suggested Citation

  • Elder, John & Miao, Hong & Ramchander, Sanjay, 2012. "Impact of macroeconomic news on metal futures," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 51-65.
    • Handle: RePEc:eee:jbfina:v:36:y:2012:i:1:p:51-65
    DOI: 10.1016/j.jbankfin.2011.06.007
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    More about this item

    Keywords

    Macroeconomic news; Metal futures; Return; Volatility; Volume;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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