PUBLIC INFORMATION AND FINANCIAL MARKETS: THE EFFECTS OF MACROECONOMIC DATA RELEASES ON INTRADAY EQUITY PRICES

Abstract

This study examines the effects of macroeconomic data releases across various sectors of the U.S. stock market. Using high-frequency price data at the five-minute level for five major sector ETFs over the five-year period from 2021 to 2025, I conduct an event study analysis to measure price incorporation of macroeconomic announcement surprises over the subsequent 5-, 10-, and 30-minute intervals. The results show that while most macroeconomic announcements do not produce statistically significant price reactions, certain releases elicit significant and prolonged price adjustments from specific sectors of the stock market—indicating that information is incorporated gradually rather than instantaneously. Particularly, this study finds that labor market data announcements have substantial effects on the energy sector of the U.S. stock market, and the magnitude of this price incorporation increases over time. These findings highlight sectoral heterogeneity in information processing and provide evidence of short-term market underreaction, challenging the widely accepted efficient markets hypothesis.