PDF iconDownload This Paper
Open PDF in Browser
Add Paper to My Library
Permalink
Using these links will ensure access to this page indefinitely
Copy URL
Copy DOI

The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility

44 Pages Posted: 16 Feb 2009 Last revised: 31 Mar 2012

See all articles by Nikolaus Hautsch

Nikolaus Hautsch

University of Vienna - Department of Statistics and Operations Research

Dieter Hess

University of Cologne - Department of Corporate Finance; University of Cologne - Centre for Financial Research (CFR)

David Veredas

Vlerick Business School

Multiple version iconThere are 2 versions of this paper

Date Written: January 17, 2010

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

JEL Classification: C32, G14, E44

Suggested Citation

Hautsch, Nikolaus and Hess, Dieter and Veredas, David, The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility (January 17, 2010). Available at SSRN: https://ssrn.com/abstract=1343297 or http://dx.doi.org/10.2139/ssrn.1343297

Nikolaus Hautsch

University of Vienna - Department of Statistics and Operations Research ( email )

Kolingasse 14
Vienna, A-1090
Austria

Dieter Hess (Contact Author)

University of Cologne - Department of Corporate Finance ( email )

Corporate Finance Seminar
Albertus-Magnus-Platz
D-50923 Cologne
Germany
+49 221 470 7876 (Phone)
+49 221 470 7466 (Fax)

HOME PAGE: http://cf.uni-koeln.de/

University of Cologne - Centre for Financial Research (CFR)

Germany

David Veredas

Vlerick Business School ( email )

Library
REEP 1
Gent, BE-9000
Belgium

PDF iconDownload This Paper
Open PDF in Browser

Do you have a job opening that you would like to promote on SSRN?

Place Job Opening

Paper statistics

Downloads
383
Abstract Views
1,932
rank
109,729
36 References
PlumX Metrics

Related eJournals

Recommended Papers