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Communication Dans Un Congrès Année : 2010

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

Résumé

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.
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Dates et versions

halshs-00493911 , version 1 (21-06-2010)

Identifiants

  • HAL Id : halshs-00493911 , version 1

Citer

Franck Moraux, Arnaud Richard. How do News Releases and their Information Content affect Bund Futures Prices? An HFD investigation. Seventeenth International Conference 'Forecasting Financial Markets', May 2010, Hannover, Germany. 28 p. ⟨halshs-00493911⟩
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