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Public Information and the Persistence of Bond Market Volatility / Charles M. Jones, Owen Lamont, Robin Lumsdaine.
- Format:
- Book
- Author/Creator:
- Jones, Charles M.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w5446.
- NBER working paper series no. w5446
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1996.
- Summary:
- We examine the reaction of daily bond prices to the release of government macroeconomic news. These news releases are of interest because they are released on periodic, preannounced dates and because they cause substantial bond market volatility. The news component of volatility is not positively autocorrelated on these dates, since the news is released at a specific moment in time. We find that (1) expected returns on the short end of the bond market are significantly higher on these announcement dates, and (2) the persistence pattern of daily volatility is quite different around these days.
- Notes:
- Print version record
- January 1996.
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