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Keywords:

  • Realized variation;
  • Bipower variation;
  • Jump statistics;
  • Interest rate futures;
  • Macro announcements;
  • Price and trading volume patterns

Abstract

We apply nonparametric statistical procedures to extract jumps around scheduled macroeconomic news in U.S. Treasury bond, U.S. Treasury note and Eurodollar futures prices from 2001 to 2004. Volatility and trading activity during announcement days with jumps versus no jumps are also analyzed with computerized trade reconstruction (CTR) and time and sales high frequency data. Several interesting results are obtained. First, while jumps often occur during announcement periods, many jumps cannot be associated with macroeconomic news releases. Second, volatility and trading volume are higher during announcement days with jumps than announcement days without jumps. Furthermore, volatility returns to the pre-announcement level faster following scheduled news releases with jumps than after announcements without jumps. Third, we find that price and trading volume are adjusting simultaneously in the first 1-minute interval following the announcement. Thus our results do not confirm that there exists a two-stage adjustment process for prices and trading volume in interest rate futures following scheduled public news releases.