Is Someone Front-Running You Around News Releases?
BigDataFinance.org; ABLE Alpha Trading, LTD; AbleMarkets.com
February 5, 2016
This study presents evidence that much of the trading on macro-economic news occurs prior to the scheduled news announcement times. Examining the trading patterns ahead of the ISM Manufacturing Index and Construction Spending announcement, we find that the trading on the not-yet-publicly released embargoed news consistently takes place as long as 30 minutes ahead of the news announcement times. As much as three quarters of the pre-announcement price move appears to be driven by aggressive HFTs.
Number of Pages in PDF File: 28
Keywords: News events, front-running, news leakage, high-frequency trading, institutional investors
JEL Classification: L1, E44, E61, E65, G14, B22
Date posted: February 4, 2016 ; Last revised: February 8, 2016