Macroeconomic announcements, price discovery, and order flow efects in the stock market: evidence from incomplete data and multiple financial markets

This paper investigates heterogeneity in the market assessment of public macro- economic announcements by exploring (jointly) two main mechanisms through which macroeconomic news might enter stock prices: instantaneous fundamental news im- pacts consistent with the asset pricing view of symmetric information, and permanent order ow e¤ects consistent with a microstructure view of asymmetric information related to heterogeneous interpretation of public news. Theoretical motivation and empirical evidence for the operation of both mechanisms are presented. Signi cant in- stantaneous news impacts are detected for news related to real activity (including em- ployment), investment, in ation, and monetary policy; however, signi cant order ow e¤ects are also observed on employment announcement days. A multi-market analysis suggests that these asymmetric information e¤ects come from uncertainty about long term interest rates due to heterogeneous assessments of future Fed responses to em- ployment shocks.

Potentialities of two solventless extraction approaches—Stir bar sorptive extraction and headspace solid-phase microextraction for determination of higher alcohol acetates, isoamyl esters and ethyl esters in wines

A stir bar sorptive extraction with liquid desorption followed by large volume injection coupled to gas chromatography–quadrupole mass spectrometry (SBSE-LD/LVI-GC–qMS) was evaluated for the simultaneous determination of higher alcohol acetates (HAA), isoamyl esters (IsoE) and ethyl esters (EE) of fatty acids. The method performance was assessed and compared with other solventless technique, the solid-phase microextraction (SPME) in headspace mode (HS). For both techniques, influential experimental parameters were optimised to provide sensitive and robust methods. The SBSE-LD/LVI methodology was previously optimised in terms of extraction time, influence of ethanol in the matrix, liquid desorption (LD) conditions and instrumental settings. Higher extraction efficiency was obtained using 60 min of extraction time, 10% ethanol content, n-pentane as desorption solvent, 15 min for the back-extraction period, 10 mL min−1 for the solvent vent flow rate and 10 °C for the inlet temperature. For HS-SPME, the fibre coated with 50/30 μm divinylbenzene/carboxen/polydimethylsiloxane (DVB/CAR/PDMS) afforded highest extraction efficiency, providing the best sensitivity for the target volatiles, particularly when the samples were extracted at 25 °C for 60 min under continuous stirring in the presence of sodium chloride (10% (w/v)). Both methodologies showed good linearity over the concentration range tested, with correlation coefficients higher than 0.984 for HS-SPME and 0.982 for SBES-LD approach, for all analytes. A good reproducibility was attained and low detection limits were achieved using both SBSE-LD (0.03–28.96 μg L−1) and HS-SPME (0.02–20.29 μg L−1) methodologies. The quantification limits for SBSE-LD approach ranging from 0.11 to 96.56 μg L−and from 0.06 to 67.63 μg L−1 for HS-SPME. Using the HS-SPME approach an average recovery of about 70% was obtained whilst by using SBSE-LD obtained average recovery were close to 80%. The analytical and procedural advantages and disadvantages of these two methods have been compared. Both analytical methods were used to determine the HAA, IsoE and EE fatty acids content in “Terras Madeirenses” table wines. A total of 16 esters were identified and quantified from the wine extracts by HS-SPME whereas by SBSE-LD technique were found 25 esters which include 2 higher alcohol acetates, 4 isoamyl esters and 19 ethyl esters of fatty acids. Generally SBSE-LD provided higher sensitivity with decreased analysis time.