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CFR Working Papers, Centre for Financial Research (CFR), Universität Köln >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/44967
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Hautsch, Nikolaus | | en_US |
| dc.contributor.author | | Hess, Dieter E. | | en_US |
| dc.contributor.author | | Veredas, David | | en_US |
| dc.date.accessioned | | 2011-04-14 | | en_US |
| dc.date.accessioned | | 2011-04-15T09:46:25Z | | - |
| dc.date.available | | 2011-04-15T09:46:25Z | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/44967 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Centre for Financial Research Cologne | | en_US |
| dc.relation.ispartofseries | | CFR working paper 11-06 | | en_US |
| dc.subject.jel | | C32 | | en_US |
| dc.subject.jel | | G14 | | en_US |
| dc.subject.jel | | E44 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | effcient return | | en_US |
| dc.subject.keyword | | macroeconomic announcements | | en_US |
| dc.subject.keyword | | microstructure noise | | en_US |
| dc.subject.keyword | | informational volatility | | en_US |
| dc.title | | The impact of macroeconomic news on quote adjustments, noise, and informational volatility | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 656412704 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:cfrwps:1106 | | - |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
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