Professor in Finance/Deputy Head of School,School of Economics and Finance,Victoria University of Wellington.
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.
