Should macroeconomic information be released during trading breaks in futures markets?
利用芝加哥商业交易所交易时间调整和美国农业部月度报告发布时间变化的自然实验，研究发现交易休息期间发布宏观经济信息能提升市场质量，降低价格波动和买卖价差，增加市场深度。
This study examines the impact of releasing macroeconomic information during trading breaks versus during continuous trading in futures markets. Recently, the Chicago Mercantile Exchange changed its trading hours, while the United States Department of Agriculture changed the release time of its monthly report. These changes provide a natural experiment for assessing the role of trading breaks in futures markets. In this study, price volatility and bid‐ask spreads are found to be abnormally elevated and market depth abnormally low for a longer period during the continuous trading period. Therefore, releasing macroeconomic information during trading breaks in futures markets improves market quality.