Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/176106 
Year of Publication: 
2014
Series/Report no.: 
Texto para discussão No. 623
Publisher: 
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia, Rio de Janeiro
Abstract: 
The estimation of the impact of macroeconomic announcements in the Brazilian futuresmarkets is used to uncover the relationship between macroeconomic fundamentals andasset prices. Using intraday data from October 2008 to January 2011, we find thatexternal macroeconomic announcements dominate price changes in the ForeignExchange and Ibovespa futures markets, while the impact of the domestic ones ismainly restricted to Interest Rate futures contracts. We additionally propose aninvestment strategy based on the conditional price reaction of each market that showedpromising results in an out-of-sample study, where we are able to correctly identifyreturns’ 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 theeconomy and document the impact on volume and bid-ask spreads.
Subjects: 
high frequency data
macroeconomic announcements
financial markets
investment strategy
futures markets
Brazil
Document Type: 
Working Paper

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