The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets

Authors

  • Francisco Luna Santos Instituto de Pesquisa Econômica Aplicada
  • Márcio Gomes Pinto Garcia Pontifícia Universidade Católica do Rio de Janeiro
  • Marcelo Cunha Medeiros Pontifícia Universidade Católica do Rio de Janeiro

DOI:

https://doi.org/10.12660/bre.v99n992016.46421

Keywords:

High frequency data, macroeconomic announcements, financial markets, investment strategy, futures markets, Brazil.

Abstract

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 markets, while the impact of the domestic ones is mainly restricted to Interest Rate contracts. We additionally propose an investment strategy based on the conditional price reaction of each market that achieved a success rate of 70% in an out-of-sample study. Finally, we document the impact on volume and bid-ask spreads.

Author Biographies

Francisco Luna Santos, Instituto de Pesquisa Econômica Aplicada

Pesquisador da área de macroeconomia no IPEA(RJ).

Márcio Gomes Pinto Garcia, Pontifícia Universidade Católica do Rio de Janeiro

Professor Associado do departamento de Economia da PUC/Rio, Cátedra Vinci.

Marcelo Cunha Medeiros, Pontifícia Universidade Católica do Rio de Janeiro

Professor Associado do departamento de Economia da PUC/Rio.

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Published

2016-11-01

Issue

Vol. 36 No. 2 (2016)

Section

Articles