Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets

• The impact, response as well as magnitude- and directional-asymmetries of macroeconomic announcements to futures markets is highly significant.
• The impact of announcements is higher for volume- than price-returns.
• The impact of unanticipated surprise is negative for commodities futures in price-returns and for all futures markets in volume-returns.
• The impact of the surprise component is positive for all three futures markets and in both price- and volume-returns.
• The results for 8:30 do not differ to those for 10:00 announcements in terms of significance and magnitude.

The present paper, firstly examines the significance of US macroeconomic announcements to the price and volume of three mini-futures markets via three statistical tests. Secondly, the impact of news releases on price and trading volume is studied in an intraday frequency. Thirdly, the significance and magnitude of the response of futures price and volume to the unanticipated surprise and surprise component of a macroeconomic statement is researched. Next, the asymmetric impact is studied upon the magnitude or direction of price and volume.