The Impacts of Macroeconomic News Announcements on Intraday Implied Volatility

Jieun Lee () and Doojin Ryu ()
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Jieun Lee: Economic Research Institute, The Bank of Korea
Doojin Ryu: College of Economics, Sungkyunkwan University

No 2019-2, Working Papers from Economic Research Institute, Bank of Korea

Abstract: This study examines the response of intraday options-implied volatilities to scheduled announcements of major macroeconomic indicators. By analyzing the KOSPI 200 options intraday data, we find that the abnormal implied volatility significantly increases around announcements of macroeconomic news and that the extent of the response is influenced by a variety of factors, including the type of macroeconomic indicators released, option type and economic conditions. Specifically, the increase in implied volatility around these announcements is more pronounced for puts than for calls. These effects are also more pronounced in the crisis and post-crisis periods than in the pre-crisis period. Monetary policy announcements have a more substantial impact on implied volatility than other announcements, even after controlling for news surprise components. Finally, the impact appears to be greater for policy rate hikes than for policy rate cuts.

Keywords: Event study; Intraday volatility; KOSPI 200 options; Macroeconomic news announcement (search for similar items in EconPapers)
JEL-codes: E52 G10 G14 (search for similar items in EconPapers)
Pages: 76 pages
Date: 2019-01-10
New Economics Papers: this item is included in nep-mac and nep-mst
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http://papers.bok.or.kr/RePEc_attach/wpaper/english/wp-2019-2.pdf Working Paper, 2019 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:bok:wpaper:1902

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