Macroeconomic News Announcements and Market Efficiency: Evidence from the U.S. Treasury Market

Hai Lin

<p>This paper investigates the impact of scheduled macroeconomic news announcements on the U.S. Treasury market efficiency. To control the microstructure noise, we employ a robust method to construct market inefficiency measures. We find that the U.S. Treasury market becomes less efficient starting from five minutes before news arrivals. Our finding is robust for different sample periods, macroeconomic news announcements, and market inefficiency measures. Investor heterogeneity could explain the decreased market efficiency before scheduled news announcements.</p>

2020-11-17(Tuesday)16:40-18:00

线上腾讯会议

English

厦门大学经济学院、王亚南经济研究院

厦门大学经济学院金融系

系列讲座

谢沛霖

<p>Professor in Finance/Deputy Head of School,School of Economics and Finance,Victoria University of Wellington.</p> <div>Area:&nbsp; Market Microstructure，Fixed-Income Securities</div> <div>&nbsp;</div> <div>注：演讲嘉宾线上进行讲座，预约成功的同学请到经济楼N302观看，其他师生也可以选择线上参加，参会方式将以邮件形式发送给师生。</div>