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

Nikolaus Hautsch, Dieter E. Hess and David Veredas

No 2010-005, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

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)
Date: 2010
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https://www.econstor.eu/bitstream/10419/39320/1/623835193.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 (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)
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