Investor Attention and Macroeconomic News Announcements: Evidence from Stock Index Futures

2015 ◽  
Vol 36 (3) ◽  
pp. 240-266 ◽  
Author(s):  
Jing Chen ◽  
Yu-Jane Liu ◽  
Lei Lu ◽  
Ya Tang
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Investor Attention ◽  
Macroeconomic News ◽  
Index Futures ◽  
News Announcements

scholarly journals Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?

2018 ◽  
Vol 54 (1) ◽  
pp. 449-479 ◽  
Author(s):  
Alexander Kurov ◽  
Alessio Sancetta ◽  
Georg Strasser ◽  
Marketa Halova Wolfe
Keyword(s):  
Private Information ◽  
Information Leakage ◽  
Stock Index ◽  
Release Time ◽  
Stock Index Futures ◽  
Macroeconomic News ◽  
Index Futures ◽  
Macroeconomic Announcements ◽  
Show Evidence ◽  
Correct Direction

We examine stock index futures and Treasury futures around the release time of 30 U.S. macroeconomic announcements. Nine of the 20 announcements that move markets show evidence of substantial informed trading before the official release time. Prices begin to move in the “correct” direction approximately 30 minutes before the release time. The preannouncement price drift accounts on average for approximately 40% of the total price adjustment. This implies that some traders have private information about macroeconomic fundamentals. Preannouncement drift might originate from a combination of information leakage and superior forecasting that incorporates proprietary data.

Volatility and Trading Demands in Stock Index Futures

CFA Digest ◽  
2003 ◽  
Vol 33 (3) ◽  
pp. 101-102
Author(s):  
Frank T. Magiera
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures
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