Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/44967 
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dc.contributor.authorHautsch, Nikolausen
dc.contributor.authorHess, Dieter E.en
dc.contributor.authorVeredas, Daviden
dc.date.accessioned2011-04-14-
dc.date.accessioned2011-04-15T09:46:25Z-
dc.date.available2011-04-15T09:46:25Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/44967-
dc.description.abstractWe 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.en
dc.language.isoengen
dc.publisher|aUniversity of Cologne, Centre for Financial Research (CFR) |cCologneen
dc.relation.ispartofseries|aCFR working paper |x11-06en
dc.subject.jelC32en
dc.subject.jelG14en
dc.subject.jelE44en
dc.subject.ddc330en
dc.subject.keywordeffcient returnen
dc.subject.keywordmacroeconomic announcementsen
dc.subject.keywordmicrostructure noiseen
dc.subject.keywordinformational volatilityen
dc.titleThe impact of macroeconomic news on quote adjustments, noise, and informational volatility-
dc.typeWorking Paperen
dc.identifier.ppn656412704en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfrwps:1106en

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