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dc.contributor.authorHautsch, Nikolausen_US
dc.contributor.authorHess, Dieter E.en_US
dc.contributor.authorVeredas, Daviden_US
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_US
dc.publisherCentre for Financial Research Cologneen_US
dc.relation.ispartofseriesCFR working paper 11-06en_US
dc.subject.keywordeffcient returnen_US
dc.subject.keywordmacroeconomic announcementsen_US
dc.subject.keywordmicrostructure noiseen_US
dc.subject.keywordinformational volatilityen_US
dc.titleThe impact of macroeconomic news on quote adjustments, noise, and informational volatilityen_US
dc.typeWorking Paperen_US
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

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