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AbstractWe study the effects of liquidity and term‐to‐maturity following macroeconomic news announcements. To do this we select five instruments that differ in liquidity, or term‐to‐maturity, or both, and examine their response to the release of macroeconomic news. The results from this study suggest that variance on announcement days is higher in more liquid, longer term‐to‐maturity instruments. When instruments differ in both term‐to‐maturity and liquidity, term‐to‐maturity effects dominate. Tests for persistence in higher volatility in the five instruments following news releases show that most of the effects of the announcements seem to be well absorbed within fifteen minutes of the announcements. However, the evidence also suggests that the effects persist for longer periods in instruments that are more liquid. Term‐to‐maturity appears to have little or no effect in this instance.

AbstractUsing intraday data we examine the response of futures on the British Long Gilt (Gilt), the German Government Bond (Bund), the U.S. Treasury Bond (Bond), the Japanese Government Bond (JGB), and the Italian Government Bond (IGB) to the release of U.S. macroeconomic news. Bond, Gilt, and Bund futures respond strongly to the news releases. The response of JGB futures is less pronounced, and IGB futures display weak responses at best. The instruments take time to adjust to news in the announcements. Following the announcements, Bond futures exert a high degree of market leadership. Evidence of increasing market integration is also noted.

AbstractWe examine the effects of unanticipated macroeconomic news on two interest rate futures using intraday data. The surprises are identified on the basis of their potential effects on debt markets (positive or negative) and by their size (large, medium, or small). The results show distinct ex‐post return patterns associated with different categories of news surprises. For example, large surprises have the strongest immediate effects whereas negative surprises have the longest persisting effects. Tests that examine the separate effects of each announcement suggest that debt responses vary with the size and potential effect of the news surprise in each announcement.