TY  - UNPD
A1  - Hautsch, Nikolaus
A1  - Hess, Dieter
A1  - Veredas, David
T1  - The impact of macroeconomic news on quote adjustments, noise, and informational volatility
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2010,01
N2  - 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. JEL Classification: C32, G14, E44
T3  - CFS working paper series - 2010, 01 
KW  - Efficient Return
KW  - Macroeconomic Announcements
KW  - Microstructure Noise
KW  - Informational Volatility
Y1  - 2010
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/7520
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-75128
ER  -