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http://hdl.handle.net/10419/44967
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| Title: | | The impact of macroeconomic news on quote adjustments, noise, and informational volatility  |
| Authors: | | Hautsch, Nikolaus Hess, Dieter E. Veredas, David |
| Issue Date: | | 2011 |
| Series/Report no.: | | CFR working paper 11-06 |
| 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. |
| Subjects: | | effcient return macroeconomic announcements microstructure noise informational volatility |
| JEL: | | C32 G14 E44 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
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