The Micro Dynamics of Macro Announcements

28 Pages Posted: 16 Oct 2013

See all articles by Stefan Mittnik

Stefan Mittnik

Ludwig Maximilian University of Munich (LMU)

Nikolay Robinzonov

Ludwig Maximilian University of Munich (LMU)

Klaus Wohlrabe

CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute

Date Written: October 16, 2013

Abstract

We examine how regularly scheduled macroeconomic announcements for the U.S., Germany and the euro area affect the German stock market, using high–frequency, minute–by–minute DAX data. Our study extends the literature on high–frequency announcement effects in several ways. First, we account for endogenous return dynamics by assessing announcement impacts via response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by distinguishing effects of positive and negative surprises. Finally, we adapt the standard weighted–least–squares approach to more adequately analyze both conditional mean and volatility effects.

Keywords: announcement effects, market efficiency, information spillover, impulse response analysis, volatility, weighted least squares

JEL Classification: F300, F400, G140, C580

Suggested Citation

Mittnik, Stefan and Robinzonov, Nikolay and Wohlrabe, Klaus, The Micro Dynamics of Macro Announcements (October 16, 2013). CESifo Working Paper Series No. 4421, Available at SSRN: https://ssrn.com/abstract=2340942

Stefan Mittnik (Contact Author)

Ludwig Maximilian University of Munich (LMU) ( email )

Geschwister-Scholl-Platz 1
Munich, DE Bavaria 80539
Germany

Nikolay Robinzonov

Ludwig Maximilian University of Munich (LMU) ( email )

Geschwister-Scholl-Platz 1
Munich, DE Bavaria 80539
Germany

Klaus Wohlrabe

CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute ( email )

Poschinger Str. 5
Munich, 01069
Germany

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