By analyzing a highly informative microstructure dataset, this study reveals the microstructural liquidity dynamics around scheduled macroeconomic announcements. Importantly, we examine whether investor attention contributes to liquidity fluctuations in a highly liquid and purely order-driven index futures market. Increased foreign institutions’ attention impairs market liquidity by consuming the spread and increasing adverse selection costs, whereas domestic institutions provide liquidity in response to the influx of foreign institutions around macroeconomic announcements, in general, and monetary policy announcements in particular. Domestic individuals are noisy and participate significantly less after announcements.​

KEYWORDS: Adverse selection cost; Index futures; Investor attention; Macroeconomic announcements; Market liquidity; Market microstructure​

JEL Classification: E44; G11; G14