Universität zu Köln

Hautsch, Nikolaus ORCID: 0000-0001-9702-3871, Hess, Dieter and Veredas, David (2011). The impact of macroeconomic news on quote adjustments, noise, and informational volatility. J. Bank Financ., 35 (10). S. 2733 - 2747. AMSTERDAM: ELSEVIER. ISSN 1872-6372

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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. We decompose bid and ask returns 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. (C) 2011 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Hautsch, Nikolaus UNSPECIFIED orcid.org/0000-0001-9702-3871 UNSPECIFIED Hess, Dieter UNSPECIFIED UNSPECIFIED UNSPECIFIED Veredas, David UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-488735
DOI:	10.1016/j.jbankfin.2011.03.004
Journal or Publication Title:	J. Bank Financ.
Volume:	35
Number:	10
Page Range:	S. 2733 - 2747
Date:	2011
Publisher:	ELSEVIER
Place of Publication:	AMSTERDAM
ISSN:	1872-6372
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language TIME PRICE DISCOVERY; CONDITIONAL HETEROSKEDASTICITY; DIFFERENTIAL INTERPRETATION; MARKET; BOND; STOCK; LIQUIDITY; PRECISION; DYNAMICS; MODEL Multiple languages Business, Finance; Economics Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/48873