Macroeconomic Annnouncements and Volatility of Equity Returns: High-Frequency Evidence from Indonesia

29 Pages Posted: 3 Dec 2014 Last revised: 8 Dec 2014

See all articles by Haryadi Haryadi

Haryadi Haryadi

Victoria University; Fiscal Policy Agency of the Ministry of Finance of the Republic of Indonesia

Terrence A. Hallahan

Victoria University

Hassan Tanha

Victoria University

Date Written: December 1, 2014

Abstract

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

Haryadi, Haryadi and Hallahan, Terrence A. and Tanha, Hassan, Macroeconomic Annnouncements and Volatility of Equity Returns: High-Frequency Evidence from Indonesia (December 1, 2014). 2015 Financial Markets & Corporate Governance Conference, Available at SSRN: https://ssrn.com/abstract=2532768 or http://dx.doi.org/10.2139/ssrn.2532768

Haryadi Haryadi (Contact Author)

Victoria University ( email )

Footscray Park
PO Box 14428
Melbourne, 8001
Australia

Fiscal Policy Agency of the Ministry of Finance of the Republic of Indonesia ( email )

Gedung R.M. Notohamiprodjo
Jalan DR. Wahidin Raya No. 1
Jakarta, 10710
Indonesia

Terrence A. Hallahan

Victoria University ( email )

School of Accounting and Finance
300 Flinders Street
Melbourne, 8001
Australia

Hassan Tanha

Victoria University ( email )

Footscray Park
PO Box 14428
Melbourne, 8001
Australia

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