New evidence on market response to public announcements in the presence of microstructure noise

• A new procedure is proposed to study the impact of public news on volatility. News release mechanism affects market efficiency and trading cost. releases without halts have faster price discovery at higher Faster does not compensate The can help policy makers improve mechanism. Market responses announcements are commonly measured by their returns variance, which allows inference value information length process. Recently published articles based high-frequency data fail disentangle efficient variance from microstructure noise, produces biased estimates announcements’ impacts. By using a Markov Chain framework, we address shortcomings previous research assess response key affecting agricultural markets. We compare two mechanisms that been used in these markets: halt real-time. show how noise be decisions. find real-time brings cost large frictions. Increases compensated improvements speed discovery. Overall, our findings highly relevant implications for design.