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. We decompose bid and ask returns 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

MoreLess

Year of publication:	2012
Authors:	Hautsch, Nikolaus
Other Persons:	Hess, Dieter (contributor) ; Veredas, David (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Ankündigungseffekt \| Announcement effect \| Noise Trading \| Noise trading \| Börsenkurs \| Share price \| Informationseffizienz \| Informational efficiency \| Marktmikrostruktur \| Market microstructure \| Theorie \| Theory \| Wirtschaftsinformation \| Economic information \| Geld-Brief-Spanne \| Bid-ask spread \| Schätzung \| Estimation \| Deutschland \| Germany \| Kapitaleinkommen \| Capital income \| Zinsderivat \| Interest rate derivative
Description of contents:	Abstract [papers.ssrn.com]