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
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: G14 E44 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cta, nep-ict and nep-mst
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Working Paper: On the Effects of Private Information on Volatility (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2012-08
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