Scheduled macroeconomic news announcements and intraday market sentiment

Abstract

We analyze the effects of scheduled macroeconomic news on intraday and daily market sentiment by comparing sentiment on news announcement dates with that on non-announcement dates. Announcements of macroeconomic indicators change neither intraday nor daily market sentiment. However, the directions of the announced values have asymmetric effects on intraday market sentiment, although they do not affect daily market sentiment. For example, an announcement of an increase in the gross domestic product (GDP) reduces short-term intraday market sentiment, whereas an announcement of a decrease in GDP does not significantly affect intraday market sentiment. We also find that the effect of intraday market sentiment on short-term market returns is greater following announcements of macroeconomic indicators that significantly affect intraday market sentiment.