How Markets Process Information: News Releases and Volatility
研究定期宏观经济新闻公告对利率和外汇期货市场的影响，发现这些公告解释了大部分日内和星期内的波动模式，价格调整主要发生在第一分钟，但波动性会持续较长时间。
ABSTRACT We examine the impact of scheduled macroeconomic news announcements on interest rate and foreign exchange futures markets. We find these announcements are responsible for most of the observed time‐of‐day and day‐of‐the‐week volatility patterns in these markets. While the bulk of the price adjustment to a major announcement occurs within the first minute, volatility remains substantially higher than normal for roughly fifteen minutes and slightly elevated for several hours. Nonetheless, these subsequent price adjustments are basically independent of the first minute's return. We identify those announcements with the greatest impact on these markets.