Contents -- I. Introduction -- II. Literature Review -- III.Intraday Price Data and Announcements -- IV.Two-Stage Modeling of Returns and Volatility -- V. Price Dynamics in Emerging Markets -- VI.News Effects in Emerging Bond Markets -- A. Repricing and Repositioning -- B. Asymmetries and Nonlinearities -- VII.Conclusion -- References -- Tables -- Table 1. Summary Statistics for 1- and 10-Minute Bond Returns -- Table 2. Macroeconomic News Announcements -- Table 3. AR-ARCH Specification -- Table 4. Impact of Surprises in U.S. Macroeconomic News on 1-Minute Returns -- Table 5. Impact of News Arrival on 10-Minute Return Volatility -- Table 6. Impact of Positive and Negative News Arrival on 10-Minute Return Volatility -- Table 7. Impact of Surprise News in the Upper and Lower 0.70 Quantile on 10-Minute Return Volatility -- Table 8. Impact of News Arrival on 10-Minute Return Volatility Before and During the Subprime Crisis -- Figures -- Figure 1. Intraday Volatility Patterns Before and During The Subprime Crisis -- Figure 2. Autocorrelation of Ten-Minute Return Volatility and Volatility Innovations -- Figure 3. Price Response to Surprises in U.S. Macroeconomic News -- Figure 4. Volatility Response to Local News Arrival -- Figure 5. Volatility Response to U.S. News Arrival.