Arbeitspapier
The impact of macroeconomic news on quote adjustments, noise, and informational volatility
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: CFS Working Paper ; No. 2010/01
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Information and Market Efficiency; Event Studies; Insider Trading
Financial Markets and the Macroeconomy
- Subject
-
Efficient Return
Macroeconomic Announcements
Microstructure Noise
Informational Volatility
Wirtschaftsinformation
Ankündigungseffekt
Börsenkurs
Bid-Ask Spread
Kapitalertrag
Informationseffizienz
Volatilität
Noise Trading
Mikrostrukturanalyse
Theorie
Schätzung
Zinstermingeschäft
Deutschland
- Event
-
Geistige Schöpfung
- (who)
-
Hautsch, Nikolaus
Hess, Dieter E.
Veredas, David
- Event
-
Veröffentlichung
- (who)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (where)
-
Frankfurt a. M.
- (when)
-
2010
- Handle
- URN
-
urn:nbn:de:hebis:30-75128
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hautsch, Nikolaus
- Hess, Dieter E.
- Veredas, David
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Time of origin
- 2010
Other Objects (12)
The impact of macroeconomic news on quote adjustments, noise, and informational volatility
The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Volatility Estimation on the Basis of Price Intensities
Bayesian inference in a stochastic volatility Nelson-Siegel Model
Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model
Modelling high-frequency volatility and liquidity using multiplicative error models
Discrete-time stochastic volatility models and MCMC-based statistical inference
Yield curve factors, term structure volatility, and bond risk premia
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
Modelling Intraday Trading Activity Using Box-Cox-ACD Models
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
The impact of macroeconomic news on quote adjustments, noise, and informational volatility
The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Volatility Estimation on the Basis of Price Intensities
Bayesian inference in a stochastic volatility Nelson-Siegel Model
Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model
Modelling high-frequency volatility and liquidity using multiplicative error models
Discrete-time stochastic volatility models and MCMC-based statistical inference
Yield curve factors, term structure volatility, and bond risk premia
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
Modelling Intraday Trading Activity Using Box-Cox-ACD Models
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
The impact of macroeconomic news on quote adjustments, noise, and informational volatility
The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Volatility Estimation on the Basis of Price Intensities
Bayesian inference in a stochastic volatility Nelson-Siegel Model
Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model
Modelling high-frequency volatility and liquidity using multiplicative error models
Discrete-time stochastic volatility models and MCMC-based statistical inference
Yield curve factors, term structure volatility, and bond risk premia
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
Modelling Intraday Trading Activity Using Box-Cox-ACD Models
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model