There is evidence that information is leaked ahead of key U.S. macroeconomic data, researchers from the European Central Bank said in a paper published a paper Monday.
The study found that certain U.S. stock futures and Treasury markets moved well ahead of the release of macroeconomic data.
"Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the 'correct' direction about 30 minutes before the release time," the study said.
The authors of the study noted that the working paper does not necessarily represent the views of the ECB.
The paper found strong evidence of pre-announcement drift for seven announcements: a consumer confidence index, existing home sales, preliminary GDP, industrial production, ISM manufacturing index, ISM non-manufacturing index, and pending home sales.
The authors suggested that the reasons for the "pre-announcement drift likely comes from a combination of information leakage and superior forecasting based on proprietary data collection and reprocessing of public information."
According to the study, the pre-announcement market moves accounted "on average for about half of the total price adjustment." The authors said that the " results imply that some traders have private information about macroeconomic fundamentals."