Impact of macroeconomic news on metal futures

Abstract

a b s t r a c tThis paper uses intra-day data for the period 2002 through 2008 to examine the intensity, direction, and speed of impact of US macroeconomic news announcements on the return, volatility and trading volume of three important commodities -gold, silver and copper futures. We find that the response of metal futures to economic news surprises is both swift and significant, with the 8:30 am set of announcements -in particular, nonfarm payrolls and durable goods orders -having the largest impact. Furthermore, announcements that reflect an unexpected improvement in the economy tend to have a negative impact on gold and silver prices; however, they tend to have a positive effect on copper prices. In comparison, realized volatility and volume for all three metals are positively influenced by economic news. Finally, there is evidence that several news announcements exert an asymmetric impact on market activity variables.

What do Chinese macro announcements tell us about the world economy?

“…Interestingly, our results differ from the findings of Elder, Miao and Ramchander (2012) who analyze the effect of 20 U.S. macroeconomic announcements on metals futures prices. They find that announcements reflecting an unexpected improvement of the economy have a positive effect on copper but a negative effect on silver, possibly because an unexpected improvement of the economy makes investors switch from silver to other assets such as stocks.…”

“…It needs to be pointed out that even studies of the U.S., European and Japanese macroeconomic news find many insignificant announcements. 33 For example, Elder, Miao and Ramchander (2012) analyze the effect of 20 U.S. macroeconomic announcements on metals futures markets and find that only six or seven announcements move the prices. The 20 announcements they examine are already a 32 The reason that this trend began only recently is possibly due to the exports data previously being questionable as Chinese exporters were suspected of misreporting shipments to avoid financial capital controls and gain tax rebates, a practice that the Chinese government recently cracked down on (BBC, 2013, andSevastopulo andHornby, 2013).…”

The Efficiency in Liquidity Measures during the US Monetary Announcements

“…The impact of the US economic news is also accessed in a weekly frequency. Using no daily data to examine the impact of economic news releases are among others, Hardouvelis [17], Boyd et al [18], Lamont et al [19], Vortelinos and Gkillas (Gillas) [20] Kuttner [24] introduced and Rosa [22] recently applied the monetary policy surprise. This measure can also be used as an unanticipated surprise measure for any macroeconomic surprise.…”

Discovering and Disentangling Effects of US Macro-Announcements in European Stock Markets

“…This is because investors wait for the news about stocks before they alter their portfolio decisions. 15 After the news have hit the market, the changed perception of the true fundamental value of the respective asset(s) leads to portfolio adjustments of investors, thereby increasing the volatility. So this is in line with our ndings, and only the negative signicant volatility coecient for the New Home Sales is surprising.…”