Stats › Intraday and market microstructure › Data releases
What the data releases do to price
There are maybe a dozen moments in a month when the whole market stops and looks at the same screen at the same second. Non-farm payrolls at 08:30 New York. CPI at 08:30. The FOMC statement at 14:00. Those aren't random, they're published on a calendar months ahead, which makes them the most studied events in intraday finance.
This page is what the research actually measures. The exact release times, where they come from, and then the price impact: how fast prices adjust, how much of the adjustment happens before the number is public, and the one anomaly that the New York Fed itself documented and that has held up better than most.
I put it together because the folklore around data releases is enormous and the measurement is surprisingly precise. Andersen, Bollerslev, Diebold and Vega had five minute data on this in 2003. The Fed published the pre-FOMC drift in 2011. Every figure below is sourced and dated at the bottom, and a couple of them cut against what you'd expect.
Scheduled macro releases land on the clock: 08:30 New York for payrolls, CPI and GDP, 14:00 for the FOMC statement with the press conference at 14:30, and 14:15 CET for ECB decisions with the press conference at 14:45 CET. The New York Fed measured +49 basis points on the S&P 500 in the 24 hours before scheduled FOMC announcements from 1994 to 2011, roughly 80% of the realised annual equity premium. Kurov and co-authors found prices start moving in the right direction about 30 minutes before seven US indicators are public, capturing on average about half the total adjustment. And on payroll days from 2001 to 2006, Eurodollar futures moved 9.8bp against a 4.9bp average while the E-mini S&P moved 10.74 index points against a 10.05 average, so the rates market roughly doubled and equities barely noticed.
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Below this point there are 8 sections, 1 chart, 1 table and 7 named sources, roughly 2450 words of it. Every figure carries the source it came from and the date the data is from.
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