Economic announcements and the 10-year U.S. Treasury: Surprising findings without the surprise component. Issue 15 (2nd September 2019)

• Record Type: Journal Article
• Authors: Degiannakis, Stavros; Filis, George; Tsemperlidis, Stefanos
• Is Part Of: Applied economics letters. Volume 26:Issue 15(2019)
• Page Start: 1269
• Page End: 1273
• Publication Date: 2019-09-02
• Subjects: US Treasury market -- economic announcements -- event studies; G12 -- G14; Economics -- Periodicals; Economics, Mathematical -- Periodicals; 330
• DOI: 10.1080/13504851.2018.1545074
• Languages: English
• ISSNs: 1350-4851

Abstract

ABSTRACT: In the current study, we identify the announcements that trigger substantial changes in the behaviour of the 10-year US Treasury market, without using the surprise component and, therefore, expectational data. We use a novel model-free approach based on extreme market movements related to price returns, volatility and traded volumes. Our findings corroborate those of previous studies, which were based on expectational data. More importantly, though, we identify two additional announcements (Oil Inventories and the Mortgage Applications), which have not been previously reported. These findings are primarily important to financial analysts and investors.