The processing of non-anticipated information in financialmarkets: Analyzing the impact of surprises in theemployment report

This paper delineates the simultaneous impact of non-anticipated information onmean and variance of the intraday return process by including appropriate variablesaccounting for the news flow into both the mean and the variance function. This allowsus to differentiate between the consistent price reaction to surprising news andthe traders’ uncertainty about the precise price impact of this information. Focussingon the US employment report, we find that headline information is almost instantaneouslyincorporated into T-bond futures prices...