The impact of macroeconomic announcements in the Brazilian futures markets

TD n. 623 2014

Márcio Gomes Pinto Garcia, Marcelo Medeiros, Francisco Eduardo de Luna e Almeida Santos.

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 futures markets, while the impact of the domestic ones is

mainly restricted to Interest Rate futures contracts. We additionally propose an

investment strategy based on the conditional price reaction of each market that showed

promising results in an out-of-sample study, where we are able to correctly identify

returns’ signals, conditional on the surprise’s signal, in approximately 70% of the cases.

Finally, we provide evidence that price reactions are conditional on the state of the

economy and document the impact on volume and bid-ask spreads

Login - Área do Aluno

Login ou senha invalido!

Search here