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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

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journal contribution
posted on 2023-06-08, 18:49 authored by Paola Paiardini
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, 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 Finance

ISSN

0378-4266

Publisher

Elsevier

Volume

49

Page range

302-322

Department affiliated with

  • Economics Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2014-10-28

First Open Access (FOA) Date

2014-10-28

First Compliant Deposit (FCD) Date

2014-10-28

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