The micro dynamics of macro announcements

Stefan Mittnik; Nikolay Robinzonov; Klaus Wohlrabe

We examine how regularly scheduled macroeconomic announcements for the U.S., Germany and the euro area affect the German stock market, using high-frequency, minute-by-minute DAX data. Our study extends the literature on high-frequency announcement effects in several ways. First, we account for endogenous return dynamics by assessing announcement impacts via response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by distinguishing effects of positive and negative surprises. Finally, we adapt the standard weighted-least-squares approach to more adequately analyze both conditional mean and volatility effects.

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Year of publication:	2013
Authors:	Mittnik, Stefan ; Robinzonov, Nikolay ; Wohlrabe, Klaus
Publisher:	München : CESifo
Subject:	announcement effects \| market efficiency \| information spillover \| impulse response analysis \| volatility \| weighted least squares \| Ankündigungseffekt \| Announcement effect \| Volatilität \| Volatility \| Effizienzmarkthypothese \| Efficient market hypothesis \| Schätztheorie \| Estimation theory \| Zeitreihenanalyse \| Time series analysis \| Spillover-Effekt \| Spillover effect