Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85197
Authors: 
Hautsch, Nikolaus
Hess, Dieter
Year of Publication: 
2002
Series/Report no.: 
CoFE Discussion Paper 02/06
Abstract: 
This paper delineates the simultaneous impact of non-anticipated information on mean and variance of the intraday return 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 the traders’ uncertainty about the precise price impact of this information. Focussing on the US employment report, we find that headline information is almost instantaneously incorporated into T-bond futures prices. Nevertheless, large surprises, and ’bad’ news in particular, create considerable uncertainty. 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: 
high-frequency data
information processing
macroeconomic announcements
Treasury bond futures
trading process
volatility
JEL: 
E44
G14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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