The impact of economic news on bond prices: Evidence from the MTS platform |
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| Institution: | 1. Financial Mathematics and Computation Cluster, Michael Smurfit Graduate Business School, University College Dublin, Ireland;2. Department of Applied Mathematics and Statistics, Stony Brook University, USA;3. Bank of Japan, Japan;4. College of Business, Stony Brook University, Stony Brook, NY 11794-3775, USA;1. Brock University, Canada;2. School of Accounting & Finance, University of Waterloo, Canada;1. Department of Finance, NHH – Norwegian School of Economics, Helleveien 30, 5045 Bergen, Norway;2. Leeds University Business School and School of Mathematics, University of Leeds, Leeds LS2 9JT, United Kingdom;3. Department of Economics, University of Leicester, Leicester LE1 7RH, United Kingdom |
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| Abstract: | Although there is an extensive literature on the impact of macroeconomic announcements on asset prices, the bond market has received less attention than the foreign exchange and equity markets, even less if we consider the European market. This paper uses high-frequency intra-day data over a three-year period to investigate the impact of regularly scheduled macroeconomic news and monetary policy announcements on the returns of the Italian government bond market, the largest one in the Euro-zone. With respect to the previous papers, we use a much broader set of announcements, 68, and a relatively novel dataset (MTS). We find that 25 news have a significant impact on bond returns and that almost all announcements are incorporated into prices within 20 min from the release. |
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| Keywords: | Macroeconomic news announcements Bond returns MTS |
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