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

Nikolaus Hautsch, Dieter E. Hess and David Veredas

No 11-06, CFR Working Papers from University of Cologne, Centre for Financial Research (CFR)

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: effcient return; macroeconomic announcements; microstructure noise; informational volatility (search for similar items in EconPapers)
JEL-codes: C32 E44 G14 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-mst
References: Add references at CitEc
Citations: View citations in EconPapers (26)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/44967/1/656412704.pdf (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 (2010)
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:zbw:cfrwps:1106

Access Statistics for this paper

More papers in CFR Working Papers from University of Cologne, Centre for Financial Research (CFR) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().