On the Effects of Private Information on Volatility

Anne Opschoor (), Michel van der Wel (), Dick van Dijk and Nick Taylor
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Anne Opschoor: Erasmus University Rotterdam and the Tinbergen Institute, Postal: Rotterdam, The Netherlands

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: We study the impact of private information on volatility. We develop a comprehensive framework to investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and private information on prices and the effect of public information on volatility. Using high-frequency 30-year U.S. Treasury bond futures data, we find that private information, measured by order flow, is statistically and economically significant for explaining volatility. Private information is more important than public information, with the effect of an order flow shock on volatility being 18% larger than the effect of the most influential macroeconomic announcement.

Keywords: Information; order flow; macroeconomic announcements; Treasury futures. (search for similar items in EconPapers)
JEL-codes: E44 G14 (search for similar items in EconPapers)
Pages: 42
Date: 2012
New Economics Papers: this item is included in nep-cta, nep-ict and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2012-08

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