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.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2010,005
- Klassifikation
-
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
- Thema
-
efficient return
macroeconomic announcements
microstructure noise
informational volatility
Wirtschaftsinformation
Ankündigungseffekt
Börsenkurs
Bid-Ask Spread
Kapitalertrag
Informationseffizienz
Volatilität
Noise Trading
Mikrostrukturanalyse
Theorie
Schätzung
Zinstermingeschäft
Deutschland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hautsch, Nikolaus
Hess, Dieter E.
Veredas, David
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hautsch, Nikolaus
- Hess, Dieter E.
- Veredas, David
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2010
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