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The Macroeconomic News Cycle and Uncertainty Resolution

Author

Listed:
  • Arjun Chatrath

    (University of Portland)

  • Rohan Christie-David

    (University of Louisville)

  • William T. Moore

    (University of South Carolina)

Abstract

We examine the behavior of return volatility and trading at 5-minute intervals in the treasury bond futures market in the context of the monthly macroeconomic news cycle. We advance and confirm the hypothesis that volatility and trading activity are higher in the first half of the month. The data indicate that these patterns arise from at least two sources: (1) a higher level of uncertainty regarding the value of news in announcements in the first half of the month, and (2) improvement in efficiency of macroeconomic forecasts from the first to the second half of the month.

Suggested Citation

  • Arjun Chatrath & Rohan Christie-David & William T. Moore, 2006. "The Macroeconomic News Cycle and Uncertainty Resolution," The Journal of Business, University of Chicago Press, vol. 79(5), pages 2633-2658, September.
    • Handle: RePEc:ucp:jnlbus:v:79:y:2006:i:5:p:2633-2658
    DOI: 10.1086/505247
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    Cited by:

    1. Xingqiang Du & Wei Jian & Yingjie Du & Wentao Feng & Quan Zeng, 2014. "Religion, the Nature of Ultimate Owner, and Corporate Philanthropic Giving: Evidence from China," Journal of Business Ethics, Springer, vol. 123(2), pages 235-256, August.
    2. Brian L. Dos Santos & Zhiqiang (Eric) Zheng & Vijay S. Mookerjee & Hongyu Chen, 2012. "Are New IT-Enabled Investment Opportunities Diminishing for Firms?," Information Systems Research, INFORMS, vol. 23(2), pages 287-305, June.
    3. Christopher Duquette & Franklin Mixon & Richard Cebula & Kamal Upadhyaya, 2014. "Prediction Markets and Election Polling: Granger Causality Tests Using InTrade and RealClearPolitics Data," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 42(4), pages 357-366, December.

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