I noticed that adding text with the highlight function does not seem to work with plotyy. Perhaps I am using the wrong handle.
% plot
fig_hand = plot([tseries(qq(2010,1),rand(10,1)) tseries(qq(2010,1),rand(10,1))]);
axes_hand = findobj(gcf,'type','axe');
highlight(gca,qq(2011,1):qq(2011,2),'caption=','Text here');
% plotyy
fig_hand = plotyy(tseries(qq(2010,1),rand(10,1)),100*tseries(qq(2010,1),rand(10,1)));
axes_hand = findobj(gcf,'type','axe');
highlight(axes_hand(1),qq(2010,3):qq(2010,4),'caption=','Text here 1');
highlight(axes_hand(2),qq(2012,1):qq(2012,2),'caption=','Text here 2');