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Macroeconomic announcements, intraday covariance structure and asymmetry in the interest rate futures returns

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  • Dimitrios D. Thomakos
  • Tao Wang
  • Jingtao Wu
  • Russell P. Chuderewicz

Abstract

The effects of scheduled macroeconomic announcements on the real‐time intraday return volatilities, covariances, and correlations between the Eurodollar futures and the U.S. Treasury bond futures markets are studied. These announcements are responsible for most of the observed intraday jumps in volatilities, covariances, and correlations. The details of the linkage are intriguing and include announcements timing effect. Further study on intraday asymmetric volatility and correlation‐in‐volatility indicates that news announcements magnify asymmetric volatility and shed light on why correlations tend to be high when volatilities are high. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:815–844, 2008

Suggested Citation

  • Dimitrios D. Thomakos & Tao Wang & Jingtao Wu & Russell P. Chuderewicz, 2008. "Macroeconomic announcements, intraday covariance structure and asymmetry in the interest rate futures returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(9), pages 815-844, September.
  • Handle: RePEc:wly:jfutmk:v:28:y:2008:i:9:p:815-844
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    Cited by:

    1. Karali, Berna, 2012. "Do USDA Announcements Affect Comovements Across Commodity Futures Returns?," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(1), pages 1-21, April.
    2. Liu, Qingfu & Hua, Renhai & An, Yunbi, 2016. "Determinants and information content of intraday bid-ask spreads: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 135-148.
    3. Herrmann, Klaus & Teis, Stefan & Yu, Weijun, 2014. "Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures," FAU Discussion Papers in Economics 15/2014, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    4. Liu, Qingfu & An, Yunbi, 2014. "Risk contributions of trading and non-trading hours: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 17-29.
    5. Dimitrios I. Vortelinos, 2015. "The Effect of Macro News on Volatility and Jumps," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 425-447, November.
    6. Wang, Nanying & Houston, Jack, 2015. "An intervention analysis on the relationship between futures prices of non-GM and GM contract soybeans in China," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia 196842, Southern Agricultural Economics Association.

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