The_Impact_of_Economic_News_on_Bond_Prices_and_Trading.pdf (654.47 kB)
The impact of economic news on bond prices: evidence from the MTS platform
journal contribution
posted on 2023-06-08, 18:49 authored by Paola PaiardiniAlthough 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, sixty-eight, and a relatively novel dataset (MTS). We find that twenty-five news have a significant impact on bond returns and that almost all announcements are incorporated into prices within twenty minutes from the release.
History
Publication status
- Published
File Version
- Accepted version
Journal
Journal of Banking and FinanceISSN
0378-4266Publisher
ElsevierExternal DOI
Volume
49Page range
302-322Department affiliated with
- Economics Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2014-10-28First Open Access (FOA) Date
2014-10-28First Compliant Deposit (FCD) Date
2014-10-28Usage metrics
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