Intraday periodicity,long memory volatility,and macroeconomic announcement effects in the US Treasury bond market |
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| Affiliation: | 1. Department of Finance, John Chambers College of Business and Economics, West Virginia University, P.O. Box 6025, Morgantown, WV 26506 United States;2. Department of Economics, Skidmore College, Saratoga Springs, NY 12866, United States;3. Department of Finance, Michael G. Foster School of Business, University of Washington, PACCAR Hall, Box 353226, Seattle, WA 98195, United States;1. Department of Economics, Boston College, Chestnut Hill, Massachusetts, USA;2. Department of Finance, West Virginia University, Morgantown, West Virginia, USA;3. Department of Economics, Skidmore College, Saratoga Springs, New York, USA;4. School of Economic Sciences, Washington State University, Pullman, Washington, USA |
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| Abstract: | In this paper, we provide a detailed characterization of the return volatility in US Treasury bond futures contracts using a sample of 5-min returns from 1994 to 1997. We find that public information in the form of regularly scheduled macroeconomic announcements is an important source of volatility at the intraday level. Among the various announcements, we identify the Humphrey–Hawkins testimony, the employment report, the producer price index (PPI), the employment cost, retail sales, and the NAPM survey as having the greatest impact. Our analysis also uncovers striking long-memory volatility dependencies in the fixed income market, a finding with important implications for the pricing of long-term options and other related instruments. |
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