Turn-of-the-month and intramonth effects in government bond markets: Is there a role for macroeconomic news?

This paper focuses on the turn-of-the-month (TOM) and intramonth anomalies in government bond returns. In particular, we examine whether the TOM and intramonth effects exist in government bond markets, and moreover, whether these anomalies are related to the release of macroeconomic news as suggested in recent stock market studies. Using data on the 2-year and 10-year US Treasury Notes and German government bonds, we document a modest TOM effect in government bond returns. This effect does not disappear after controlling for the release of macroeconomic announcements, thereby suggesting that the origin of the TOM effect is not necessarily the same across asset classes.