Economics, Econometrics and Finance
3 years ago

U.S. Treasury market less efficient before macroeconomic news announcements.

1 view
Journal of Banking & Finance
Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market
Hai Lin, Ingrid Lo, Rui Qiao

Paper Summary

Scheduled macroeconomic news announcements impact the U.S. Treasury market's efficiency. The market is less efficient right before news is released. This inefficiency is consistent across different time periods and types of news. Investor differences may explain this decreased efficiency.

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