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

DOI10.1007/S10436-015-0271-3MaRDI QIDQ300688zbMATH OpenOpenAlexFDO

Authors Imane El Ouadghiri, Valérie Mignon, Nicolas Boitout

Publication date 28 June 2016

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-015-0271-3

zbMATH Keywords

bond marketevent studyhigh frequency datamacroeconomic news

Mathematics Subject Classification ID

Economics of information (91B44) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Macroeconomic news, business cycles and Australian financial markets
• The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report
• Resolving Macroeconomic Uncertainty in Stock and Bond Markets
• The impact of US macroeconomic news announcements on Chinese commodity futures
• The impact of US macroeconomic news on the Polish stock market

Cites work

• A decision-theoretic model of asset-price underreaction and overreaction to dividend news
• The Effect of Category Choice on Some Ordinal Measures of Association

Cited in

(9)

• Return seasonalities in government bonds and macroeconomic risk
• Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
• Resolving Macroeconomic Uncertainty in Stock and Bond Markets
• PREDICTING RETURNS IN US TREASURIES: DO TENTS MATTER?
• The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report
• The impact of US macroeconomic news announcements on Chinese commodity futures
• Macroeconomic News and Stock–Bond Comovement
• Markovian analysis of U.S. treasury volatility: asymmetric responses to macroeconomic announcements
• Corporate earnings announcements and economic activity

This page was built for publication: On the impact of macroeconomic news surprises on treasury-bond returns

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q300688)