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Impacts of Macroeconomic News Announcements on Corporate Bond Market

Ruixiang JiangaThe Hong Kong Polytechnic University, Hong Kong. Corresponding email: [email protected]Bo WangbLuso International Banking Ltd., ChinaChunchi WucSUNY-Buffalo, USAYue ZhangdShenzhen Audencia Financial Technology Institute, Shenzhen University, Hong Kong

Advances in Pacific Basin business, economics and financebook series2023en

ABI

Annotatsiya

Abstract This chapter examines the impacts of scheduled announcements of 14 widely followed macroeconomic news on the corporate bond market from July 2002 to June 2017 and documents several new findings. First, good (bad) macroeconomic news tends to have a negative (positive) effect on IG bond returns and a positive (negative) effect on high-yield (HY) bond returns. Second, nonfarm payroll (NFP) appears to be the “King of announcements” for the corporate bond market. Third, while information about revisions of prior releases is incorporated into bond prices on announcement days, future revisions fail to be priced in. Fourth, the news information is thoroughly and quickly reflected in bond prices on the announcement day. Finally, corporate bond volatility increases on announcement days, whereas the Zero Lower Bound (ZLB) policy has little effect on conditional volatility.

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Mavzular

Credit Risk and Financial Regulations Financial Markets and Investment Strategies Monetary Policy and Economic Impact

Identifikatorlar

DOI: 10.1108/s2514-465020230000011005

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