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Cited by 970

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How Markets Process Information: News Releases and Volatility

EDERINGTON, LOUIS H., LEE, JAE HA·1993·The Journal of Finance
DOI 10.1111/j.1540-6261.1993.tb04750.x
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Abstract

We examine the impact of scheduled macroeconomic news announcements on interest rate and foreign exchange futures markets. We find these announcements are responsible for most of the observed time‐of‐day and day‐of‐the‐week volatility patterns in these markets. While the bulk of the price adjustment to a major announcement occurs within the first minute, volatility remains substantially higher than normal for roughly fifteen minutes and slightly elevated for several hours. Nonetheless, these subsequent price adjustments are basically independent of the first minute's return. We identify those announcements with the greatest impact on these markets.

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Metadata

Authors
EDERINGTON, L. H., & LEE, J. H.
Venue
The Journal of Finance
Publisher
Wiley
Published
1993-09
Volume
48
Issue
4
Pages
1161-1191
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1993.tb04750.x
OpenAlex
W2001340398
Cited by
970
References
0
FWCI
21.01
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: How Markets Process Information: News Releases and Volatility. https://app.cochat.ai/papers/10.1111/j.1540-6261.1993.tb04750.x
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EDERINGTON, L. H., & LEE, J. H. (1993). How Markets Process Information: News Releases and Volatility. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1993.tb04750.x

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.