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Title:A mean variance king? Creation and resolution of uncertainty under the employment report's reign PDF Logo
Authors:Hautsch, Nikolaus
Hess, Dieter E.
Issue Date:2001
Series/Report no.:ZEW Discussion Papers 01-60
Abstract:This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the consistent price reaction to surprising news and traders? uncertainty about the precise price impact of this information. Analyzing the US employment report, we find that headline information is almost instantaneously incorporated into T-bond futures prices. Nevertheless, large surprises create considerable uncertainty, in particular ?bad? news. In contrast, if surprises in related headlines cross-validate each other, less room for differences of opinion is left, and hence volatility is decreased.
Subjects:Information processing
trading process
volatility
macroeconomic announcements
Treasury bond futures
high-frequency data
JEL:G14
E44
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des ZEW
ZEW Discussion Papers

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