Can information be locked up? Informed trading ahead of macro-news announcements

Bernile, Gennaro; Hu, Jianfeng; Tang, Yuehua

doi:10.1016/j.jfineco.2015.09.012

Cited by 177 publications

(103 citation statements)

References 45 publications

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“…The pattern is then similar to that in Hendershott et al (2015) and Bernile et al (2016), who also find increasing cumulative returns ahead of news. At the time of the announcement, this anticipation leads to an average fall in returns of 0.25%, which is to be compared with the 0.05% figure in Bernile et al (2016) before the FOMC announcement. 26 Our result is in line with Ye and Karali (2016), who also identify large price variations around surprising announcements.…”

Section: The Return Pattern Around Announcementssupporting

confidence: 71%

“…The results, similar to those using OID, are not reported here but are available on the author's website (https://sites.google.com/site/benoitsevi/). 29 Bernile et al (2016) explain the use of the tick rule in the context of the literature on empirical market microstructure. We refer the interested reader to their footnote 11 for further explanations.…”

Section: Figurementioning

confidence: 99%

“…We also considered surprises defined as in Bernile et al (2016) and Ye and Karali (2016). These definitions are more sophisticated, as they involve preliminary regressions, but their use does not change our results.…”

Section: Robustness Analysismentioning

confidence: 99%

“…Our work takes a different approach, building on recent contributions by Irvine et al (2007), Christophe et al (2010), Blau and Wade (2012) and Bernile et al (2016), where the focus is on the detection of information leakage before official announcements. 9 In contrast with previous work such as Ederington and Lee (1995), these papers go beyond the simple analysis of return patterns to assess the possibility of leakage by taking into account order imbalance as a symptom of informed trading.…”

mentioning

confidence: 99%

“…The t-statistic is large (3.154), revealing the existence 31 In preliminary work, we ran regressions with a dummy variable for days with an announcement, as in Bernile et al (2016).…”

mentioning

confidence: 99%

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Informed Trading in Oil-Futures Market

Rousse

Sévi

2016

SSRN Journal

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The weekly release of the U.S. inventory level by the DOE-EIA is known as the market mover in the U.S. oil futures market and to be a significant piece of information for all world oil markets in which the WTI is a price benchmark. We uncover suspicious trading patterns in the WTI futures markets in days when the inventory level is released that are higher than economists' forecasts:there are significantly more orders initiated by buyers in the two hours preceding the official release of the inventory level. We also show a clear drop in the average price of -0.25% ahead of the news release. This is consistent with informed trading. We also provide evidence of an asymmetric response of the oil price to the news, and highlight an over-reaction that is partly compensated in the hours following the announcement.JEL Classification: G13, G14, Q4.

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Section: The Return Pattern Around Announcementssupporting

confidence: 71%

Section: Figurementioning

confidence: 99%

Section: Robustness Analysismentioning

confidence: 99%

mentioning

confidence: 99%

“…The t-statistic is large (3.154), revealing the existence 31 In preliminary work, we ran regressions with a dummy variable for days with an announcement, as in Bernile et al (2016).…”

mentioning

confidence: 99%

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Informed Trading in Oil-Futures Market

Rousse

Sévi

2016

SSRN Journal

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Volatility jumps and macroeconomic news announcements

Chan

Gray

2018

Journal of Futures Markets

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While prior literature documents a link between macroeconomic news and price jumps, this paper demonstrates two channels through which economic announcements also manifest in volatility jumps. First, there is a strong coincidence of volatility jumps with scheduled announcements. Second, the mean jump size is an asymmetric function of the news surprise, with bad news resulting in larger jumps than good news. Furthermore, realized volatility (RV) and option‐implied volatility (IV) behave very differently over the days surrounding announcements. RV increases sharply on announcement days, while IV tends to decline consistent with the resolution of heightened uncertainty embedded in option prices.

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What drives informed trading before public releases? Evidence from natural gas inventory announcements

Kurov

2018

Journal of Futures Markets

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This paper shows evidence of informed trading in the natural gas futures market before gas inventory announcements. We examine whether traders can predict the upcoming announcement by processing public information. The results show that the difference between the median forecast of analysts with high historical forecasting accuracy and the consensus forecast can be used to predict inventory surprises. This predictor explains some of the pre‐announcement price drift, suggesting that informed trading before the announcement is likely to be driven by superior forecasting rather than by information leakage. A simple trading strategy conditioned on the predictor would have generated an annualized Sharpe ratio of 1.26.

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Can information be locked up? Informed trading ahead of macro-news announcements

Abstract: 2016-11-03T14:11:40

Cited by 177 publications

References 45 publications

Informed Trading in Oil-Futures Market

Informed Trading in Oil-Futures Market

Volatility jumps and macroeconomic news announcements

What drives informed trading before public releases? Evidence from natural gas inventory announcements

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