IDEAS home Printed from https://ideas.repec.org/p/hal/journl/halshs-00493911.html
   My bibliography  Save this paper

How do News Releases and their Information Content affect Bund Futures Prices? An HFD investigation

Author

Listed:
  • Franck Moraux

    (CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique)

  • Arnaud Richard

    (CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper investigates how macroeconomic announcements impact the price dynamics of the Bund Futures Contract. We use quotes sampled at a one-minute frequency and consider a large set of macroeconomic variables. Our results show that both news releases and the unexpected information content have a significant influence on price dynamics. The difference between values expected by analysts and announced values can explain a substantial fraction of Bund price returns and volatility. However, the two moments behave quite in a different way. Adjustment of returns to news releases is almost instantaneous. The volatility adjustment lasts at leasts few minutes, persistence may be up-to one hour long.

Suggested Citation

  • Franck Moraux & Arnaud Richard, 2010. "How do News Releases and their Information Content affect Bund Futures Prices? An HFD investigation," Post-Print halshs-00493911, HAL.
    • Handle: RePEc:hal:journl:halshs-00493911
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:halshs-00493911. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.