The impact of macroeconomic news on quote adjustments, noise and informational volatility

Nikolaus Hautsch, Dieter Hess and David Veredas

No 2010-004, Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common (”efficient return”) factor and two market-side-specific components capturing market microstructure effects. The corresponding variance components reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and are positively influenced by news. The proportion of noise-induced variances is highest before announcements and significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow imbalances.

Keywords: efficient return; macroeconomic announcements; microstructure noise; informational volatility (search for similar items in EconPapers)
JEL-codes: C32 E44 G14 (search for similar items in EconPapers)
Pages: 36 p.
Date: 2010-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Published by:

Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/2308 ... REDEAS-theimpact.pdf Œuvre complète ou partie de l'œuvre (application/pdf)

Related works:
Journal Article: The impact of macroeconomic news on quote adjustments, noise, and informational volatility (2011)
Working Paper: The impact of macroeconomic news on quote adjustments, noise and informational volatility (2011)
Working Paper: The impact of macroeconomic news on quote adjustments, noise, and informational volatility (2011)
Working Paper: The impact of macroeconomic news on quote adjustments, noise, and informational volatility (2010)
Working Paper: The impact of macroeconomic news on quote adjustments, noise, and informational volatility (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eca:wpaper:2013/230855

Ordering information: This working paper can be ordered from
http://hdl.handle.ne ... lb.ac.be:2013/230855

Access Statistics for this paper

More papers in Working Papers ECARES from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().