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Reaction of the U.S. Treasury market to economic news when intrapersonal uncertainty and interpersonal disagreement are high

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  • Ozocak, Onem

Abstract

Recent research has delved into how individual differences in beliefs impact how the market responds to public news. This latest study takes it a step further by incorporating the differences in beliefs between people and the uncertainty that individuals feel about their own understanding of the market. The study then assesses how the two factors impact the reaction of U.S. Treasuries to economic news. When both types of belief disparities are high, there are surprising findings. For instance, the effect of order flow on price changes becomes less pronounced, as does the impact of economic news on realized volatility. Additionally, there is less correlation between trading volume and volatility. Another interesting observation is the presence of significant post-news price drift.

Suggested Citation

  • Ozocak, Onem, 2025. "Reaction of the U.S. Treasury market to economic news when intrapersonal uncertainty and interpersonal disagreement are high," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002821
    DOI: 10.1016/j.najef.2024.102357
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    More about this item

    Keywords

    Macroeconomic news; U.S. Treasuries; Belief dispersion;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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