Macroeconomic Annnouncements and Volatility of Equity Returns: High-Frequency Evidence from Indonesia
29 Pages Posted: 3 Dec 2014 Last revised: 8 Dec 2014
Date Written: December 1, 2014
We examine the extent to which equity market returns volatility is affected by major macroeconomic announcements in an emerging market, Indonesia, using high-frequency data and a rolling observation model. We find different patterns of intraday volatility when we decompose the volatility on a monthly, daily, and subsample period basis. Furthermore, while we find that most domestic macroeconomic announcements impact on the volatility, contrary to the literature, we find no evidence of impact from the US macroeconomic announcements. We also find the 2008 global financial crisis significantly influences the impact of macroeconomic announcements on the volatility of Indonesian equity market returns.
Keywords: Macroeconomic news, monetary policy, Indonesian stock market, intraday volatility, financial crisis
JEL Classification: E44, E52, G01, G12, G14
Suggested Citation: Suggested Citation