Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets

摘要

The present paper, firstly examines the significance of US macroeconomic announcements to the price and volume of three mini-futures markets via three statistical tests. Secondly, the impact of news releases on price and trading volume is studied in an intraday frequency. Thirdly, the significance and magnitude of the response of futures price and volume to the unanticipated surprise and surprise component of a macroeconomic statement is researched. Next, the asymmetric impact is studied upon the magnitude or direction of price and volume.