@techreport{Hautsch2011impact,
abstract = {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.},
address = {Cologne},
author = {Nikolaus Hautsch and Dieter E. Hess and David Veredas},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C32; G14; E44; 330; effcient return; macroeconomic announcements; microstructure noise; informational volatility},
language = {eng},
number = {11-06},
publisher = {Centre for Financial Research},
title = {The impact of macroeconomic news on quote adjustments, noise, and informational volatility},
type = {CFR working paper},
url = {http://hdl.handle.net/10419/44967},
year = {2011}
}
