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Macroeconomic Announcements and Volatility of Treasury Futures

Citations

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Cited by:

  1. Hossein Asgharian & Mia Holmfeldt & Marcus Larson, 2011. "An event study of price movements following realized jumps," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 933-946.
  2. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 537-572.
  3. Mira Farka, 2009. "The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 47-55, January.
  4. Claudio Loderer & Marc-André Mittermayer, 2006. "America and the Swiss Stock Exchange: An Intraday Analysis," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(I), pages 79-114, March.
  5. Faruk Balli, 2009. "Spillover effects on government bond yields in euro zone. Does full financial integration exist in European government bond markets?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 331-363, October.
  6. Xinsheng Lu & Ling Qu & Ying Zhou, 2015. "The Impact of Monetary Surprises on Australian Financial Futures Markets: An Insight into Cash Rate Target Announcements," Australian Economic Papers, Wiley Blackwell, vol. 54(3), pages 151-166, September.
  7. Madhuri Malhotra & M. Thenmozhi & Arun Kumar Gopalaswamy, 2011. "Evidence on Changes in Time Varying Volatility around Bonus and Rights Issue Announcements," Working Papers 2011-061, Madras School of Economics,Chennai,India.
  8. Victor Fang & Chien-Ting Lin & Kunaal Parbhoo, 2008. "Macroeconomic News, Business Cycles and Australian Financial Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 185-207, December.
  9. Nowak, Sylwia & Anderson, Heather M., 2014. "How does public information affect the frequency of trading in airline stocks?," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 26-38.
  10. Rohan Christie‐David & Mukesh Chaudhry & James T. Lindley, 2003. "The Effects of Unanticipated Macroeconomic News on Debt Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 26(3), pages 319-339, September.
  11. Berna Karali & Jeffrey H. Dorfman & Walter N. Thurman, 2010. "Do volatility determinants vary across futures contracts? Insights from a smoothed Bayesian estimator," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(3), pages 257-277, March.
  12. Michael J. Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Working Papers in Applied Economic Theory 99-09, Federal Reserve Bank of San Francisco.
  13. Banerjee, Ameet Kumar & Pradhan, H.K., 2022. "Intraday analysis of macroeconomic news surprises, and asymmetries in Indian benchmark bond," Finance Research Letters, Elsevier, vol. 45(C).
  14. Sanjay Ramchander & Marc Simpson & Mukesh Chaudhry, 2003. "The impact of inflationary news on money market yields and volatilities," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(1), pages 85-101, March.
  15. Karali, Berna & Thurman, Walter N., 2008. "Volatility Persistence in Commodity Futures:Inventory and Time-to-Delivery Effects," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37612, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  16. Vladimír Pikora, 2007. "Vliv zveřejněných informací na výnosovou křivku [The impact of fresh releases on the yield curve]," Politická ekonomie, Prague University of Economics and Business, vol. 2007(6), pages 809-828.
  17. Lucjan T. Orlowski, 2015. "From pit to electronic trading: Impact on price volatility of U.S. Treasury futures," Review of Financial Economics, John Wiley & Sons, vol. 25(1), pages 3-9, April.
  18. Berna Karali & Walter N. Thurman, 2009. "Announcement effects and the theory of storage: an empirical study of lumber futures," Agricultural Economics, International Association of Agricultural Economists, vol. 40(4), pages 421-436, July.
  19. Han, Young Wook, 2007. "High frequency perspective on jump process, long memory property and temporal aggregation: Case of $-AUD exchange rates," Japan and the World Economy, Elsevier, vol. 19(2), pages 248-262, March.
  20. Giuliodori, Massimo & Beetsma, Roel & de Jong, Frank & Widijanto, Daniel, 2014. "The impact of news and the SMP on realized (co)variances in the eurozone sovereign debt market," Working Paper Series 1629, European Central Bank.
  21. Jon Wongswan, 2006. "Transmission of Information across International Equity Markets," The Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1157-1189.
  22. Nikolaus Hautsch & Dieter Hess, 2002. "The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report," Review of Finance, European Finance Association, vol. 6(2), pages 133-161.
  23. Dungey, Mardi & McKenzie, Michael & Smith, L. Vanessa, 2009. "Empirical evidence on jumps in the term structure of the US Treasury Market," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 430-445, June.
  24. Hautsch, Nikolaus & Hess, Dieter, 2007. "Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(1), pages 189-208, March.
  25. Christiansen, Charlotte, 2002. "Credit spreads and the term structure of interest rates," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 279-295.
  26. Eugene Durenard & David Veredas, 2002. "Macro Surprises And Short-Term Behaviour In Bond Futures," CIRANO Working Papers 2002s-03, CIRANO.
  27. Chen, Kim Heng & Han, Li-Ming, 2006. "Efficiency in Information Processing: A Study of Non-Nearby Currency Futures and Relationships with Nearby Counterparts," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 2(1), pages 1-29.
  28. de Goeij, Peter & Marquering, Wessel, 2006. "Macroeconomic announcements and asymmetric volatility in bond returns," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2659-2680, October.
  29. Farka, Mira, 2009. "The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases," Review of Financial Economics, Elsevier, vol. 18(1), pages 47-55, January.
  30. repec:dau:papers:123456789/6804 is not listed on IDEAS
  31. Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, April.
  32. Massimiliano Caporin & Francesco Poli, 2017. "Building News Measures from Textual Data and an Application to Volatility Forecasting," Econometrics, MDPI, vol. 5(3), pages 1-46, August.
  33. Nowak, Sylwia & Andritzky, Jochen & Jobst, Andreas & Tamirisa, Natalia, 2011. "Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2584-2597, October.
  34. Liu, Hsiang-Hsi & Wang, Teng-Kun & Li, Weny, 2019. "Dynamical Volatility and Correlation among US Stock and Treasury Bond Cash and Futures Markets in Presence of Financial Crisis: A Copula Approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 381-396.
  35. Lee A. Smales, 2021. "The effect of treasury auctions on 10‐year Treasury note futures," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1517-1555, April.
  36. M. D. Mckenzie & R. D. Brooks, 2003. "The role of information in Hong Kong individual stock futures trading," Applied Financial Economics, Taylor & Francis Journals, vol. 13(2), pages 123-131.
  37. Antulio N. Bomfim, 2000. "Pre-announcement effects, news, and volatility: monetary policy and the stock market," Finance and Economics Discussion Series 2000-50, Board of Governors of the Federal Reserve System (U.S.).
  38. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  39. Akhtar, Shumi & Akhtar, Farida & Jahromi, Maria & John, Kose, 2017. "Impact of interest rate surprises on Islamic and conventional stocks and bonds," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 218-231.
  40. Tuysuz, Sukriye, 2007. "The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility," MPRA Paper 5381, University Library of Munich, Germany.
  41. Barbara Bedowska-Sojka, 2011. "The Impact of Macro News on Volatility of Stock Exchanges," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 99-110.
  42. Good, Darrel L. & Irwin, Scott H. & Isengildina, Olga, 2006. "The Value of USDA Situation and Outlook Information in Hog and Cattle Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 31(2), pages 1-21, August.
  43. David Veredas, 2006. "Macroeconomic surprises and short-term behaviour in bond futures," Empirical Economics, Springer, vol. 30(4), pages 843-866, January.
  44. Smales, L.A., 2021. "Macroeconomic news and treasury futures return volatility: Do treasury auctions matter?," Global Finance Journal, Elsevier, vol. 48(C).
  45. Henryk Gurgul & Tomasz Wójtowicz, 2014. "The impact of US macroeconomic news on the Polish stock market," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(4), pages 795-817, December.
  46. Barbara Będowska-Sójka, 2010. "Intraday CAC40, DAX and WIG20 returns when the American macro news is announced," Bank i Kredyt, Narodowy Bank Polski, vol. 41(2), pages 7-20.
  47. Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers 8246, National Bureau of Economic Research, Inc.
  48. Michailidis, G., 2009. "Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
  49. Brenner, Menachem & Pasquariello, Paolo & Subrahmanyam, Marti, 2009. "On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(6), pages 1265-1289, December.
  50. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2017. "Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 14-31.
  51. Bomfim, Antulio N., 2003. "Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 133-151, January.
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