How Markets Process Information:News Releases and Volatility 1167 2.5 Panel A:Treasury Bond Futures 2 1.0 0 HHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHH 居器88888昌8图器8程目图图强8弱图图是器8器8路品品程程强经经程 Time-of-Day Panel B:Eurodollar Futures 05 4 0.3 0.1 0 HHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHHH 居器器88888器8器8强目留甜图图器器品强屋器器星强经强强餐 Time-of-Day 2.5 Panel C:Deutschemark Futures 2.0 1. 0.5 +H+++H++++++H++H+++H+HH++H+++++H++HH 8器888品器器图8昌强图程8图备器品品器888品星程经强程 Time-of-Day Figure 2.Intraday return volatilities on announcement and nonannouncement days. Standard deviations of five-minute returns are reported for days with at least one of the nineteen announcements listed in the Appendix(solid line)and days with none of these announcements (dashed line).Daily observations from November 7,1988 through November 29,1991 are utilized.The reported standard deviations are 103 times the calculated values and the times shown are interval ending times(ET)