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On the impact of macroeconomic news surprises on Treasury-bond returns

Author

Listed:
  • Nicolas Boitout
  • Imane El Ouadghiri

  • Valérie Mignon

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper investigates the impact of surprises associated with monthly macroeconomic news releases on Treasury-bond returns, by paying particular attention to the moment at which the information is published in the month. Implementing an event study on intraday data, we show that (1) the main bond market movers are based on economic activity and inflation indicators, (2) long-maturity bonds are slightly more impacted by surprises than short-maturity ones, and (3) the bond market is more sensitive to negative surprises than to positive ones. Finally, we find evidence of an empirical monotonic relationship between the surprises’ impact and their corresponding news’ publication date and/or their sign.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Nicolas Boitout & Imane El Ouadghiri & Valérie Mignon, 2016. "On the impact of macroeconomic news surprises on Treasury-bond returns," Post-Print hal-01386014, HAL.
    • Handle: RePEc:hal:journl:hal-01386014
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    Cited by:

    1. Adriano S. Koshiyama & Nikan Firoozye & Philip Treleaven, 2019. "A derivatives trading recommendation system: The mid‐curve calendar spread case," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 26(2), pages 83-103, April.
    2. Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš, 2019. "Central bank announcements and realized volatility of stock markets in G7 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 117-135.
    3. Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš & Širaňová, Mária, 2020. "Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    4. Banerjee, Ameet Kumar & Pradhan, H.K. & Akhtaruzzaman, Md & Sensoy, Ahmet & Dann, Susan, 2024. "Anatomy of sovereign yield behaviour using textual news," Research in International Business and Finance, Elsevier, vol. 71(C).
    5. Yunus, Nafeesa, 2023. "Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 211-232.
    6. Barda, Kelly, 2020. "Analyser la performance financière des indices boursiers environnementaux [Analyzing financial performance of green stock market indices]," MPRA Paper 102537, University Library of Munich, Germany.
    7. Mendiela, Pauline, 2021. "Information security breaches and financial market reaction: the French case," MPRA Paper 105029, University Library of Munich, Germany.

    More about this item

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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