Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets

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• 作者：Dimitrios I. Vortelinos^a ; ^{dvortelinos@lincoln.ac.uk} ; Athanasios Koulakiotis^b ; ^{akoulak@uom.gr} ; Athanasios Tsagkanos^c ; ^{atsagkanos@upatras.gr}
• 关键词：G12 ; G14
• 刊名：Research in International Business and Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：39
• 期：part_PA
• 页码：150-168
• 全文大小：515 K
• 卷排序：39

文摘

The impact, response as well as magnitude- and directional-asymmetries of macroeconomic announcements to futures markets is highly significant. The impact of announcements is higher for volume- than price-returns. The impact of unanticipated surprise is negative for commodities futures in price-returns and for all futures markets in volume-returns. The impact of the surprise component is positive for all three futures markets and in both price- and volume-returns. The results for 8:30 do not differ to those for 10:00 announcements in terms of significance and magnitude.