Intraday Price Dynamics in Financial Markets: The Role of Macroeconomic News Announcements

Abstract: This study proposes a new approach to measuring macroeconomic news and evaluates its effectiveness in capturing market reactions compared to traditional surprise and pure news approaches. Using 5-minute Euro-Dollar and S&P 500 price data from 2017 to 2021, we analyze how scheduled macroeconomic news announcements affect returns, volatility, and price jumps. The findings reveal that the proposed approach delivers stronger explanatory power by incorporating historical context and avoiding the omission of significant news events. Its performance is particularly notable during the COVID-19 pandemic and in response to FOMC rate decisions, highlighting its value in financial market analysis.