Since 2014
The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets
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| Creator |
Santos, Francisco Luna; Instituto de Pesquisa Econômica Aplicada
Garcia, Márcio Gomes Pinto; Pontifícia Universidade Católica do Rio de Janeiro Medeiros, Marcelo Cunha; Pontifícia Universidade Católica do Rio de Janeiro |
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| Subject |
High frequency data, macroeconomic announcements, financial markets, investment strategy, futures markets, Brazil.
E44, F31, G14 |
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| Description |
The estimation of the impact of macroeconomic announcements in the Brazilian futures markets is used to uncover the relationship between macroeconomic fundamentals and asset prices. Using intraday data from October 2008 to January 2011, we find that external macroeconomic announcements dominate price changes in the Foreign Exchange and Ibovespa markets, while the impact of the domestic ones is mainly restricted to Interest Rate contracts. We additionally propose an investment strategy based on the conditional price reaction of each market that achieved a success rate of 70% in an out-of-sample study. Finally, we document the impact on volume and bid-ask spreads.
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| Publisher |
Sociedade Brasileira de Econometria
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| Contributor |
CNPq, Faperj, Anbima.
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| Date |
2016-11-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/46421
10.12660/bre.v99n992016.46421 |
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| Source |
Brazilian Review of Econometrics; Vol 36, No 2 (2016); 185-222
Brazilian Review of Econometrics; Vol 36, No 2 (2016); 185-222 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/46421/65325
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| Rights |
Copyright (c) 2015 Brazilian Review of Econometrics
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