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2010-01-13Buch DOI: 10.18452/4233
The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility
Hautsch, Nikolaus
Hess, Dieter
Veredas, David
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.
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DOI
10.18452/4233
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