The Effect of Macro News on Volatility and Jumps

Dimitrios Vortelinos ()

Annals of Economics and Finance, 2015, vol. 16, issue 2, 425-447

Abstract: This paper investigates the impact of the major US macroeconomic an- nouncements on volatility and jumps of US financial markets. Results indicate significant volatility spillover effects on the following financial markets: exchange traded funds, exchange rates, equity index futures, Treasury bonds futures, volatility indices and equity spot indices. The expected component of changes of macro variables insignificantly affect volatility. The corresponding surprise component positively and significantly affect volatility. The exchange rate market is mostly affected by macro announcements. Moreover, news related jumps are higher in magnitude than non-news-related jumps. Most of the announcements cause significant increases in jump size.

Keywords: Macroeconomic announcements; Volatility; Jumps; Financial markets (search for similar items in EconPapers)
JEL-codes: C22 G13 G14 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2015:v:16:i:2:vortelinos

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