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https://hdl.handle.net/10419/44967
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DC Field | Value | Language |
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dc.contributor.author | Hautsch, Nikolaus | en |
dc.contributor.author | Hess, Dieter E. | en |
dc.contributor.author | Veredas, David | en |
dc.date.accessioned | 2011-04-14 | - |
dc.date.accessioned | 2011-04-15T09:46:25Z | - |
dc.date.available | 2011-04-15T09:46:25Z | - |
dc.date.issued | 2011 | - |
dc.identifier.uri | http://hdl.handle.net/10419/44967 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aUniversity of Cologne, Centre for Financial Research (CFR) |cCologne | en |
dc.relation.ispartofseries | |aCFR working paper |x11-06 | en |
dc.subject.jel | C32 | en |
dc.subject.jel | G14 | en |
dc.subject.jel | E44 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | effcient return | en |
dc.subject.keyword | macroeconomic announcements | en |
dc.subject.keyword | microstructure noise | en |
dc.subject.keyword | informational volatility | en |
dc.title | The impact of macroeconomic news on quote adjustments, noise, and informational volatility | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 656412704 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:cfrwps:1106 | en |
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