The impact of macroeconomic news on quote adjustments, noise, and informational volatility
- We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components capturing market microstructure effects. The corresponding variance components reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and are positively influenced by news. The proportion of noise-induced variances is highest before announcements and significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow imbalances. JEL Classification: C32, G14, E44
| Author: | Nikolaus HautschORCiDGND, Dieter Hess, David Veredas |
|---|---|
| URN: | urn:nbn:de:hebis:30-75128 |
| Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2010,01 |
| Series (Serial Number): | CFS working paper series (2010, 01) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2010 |
| Year of first Publication: | 2010 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2010/02/25 |
| Tag: | Efficient Return; Informational Volatility; Macroeconomic Announcements; Microstructure Noise |
| HeBIS-PPN: | 221553525 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  Deutsches Urheberrecht |
