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The Effect of Macro News on Volatility and Jumps

Author

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  • Dimitrios I. Vortelinos

    (Lincoln Business School, University of Lincoln)

Abstract

This paper investigates the impact of the major US macroeconomic an- nouncements on volatility and jumps of US financial markets. Results indicate significant volatility spillover effects on the following financial markets: exchange traded funds, exchange rates, equity index futures, Treasury bonds futures, volatility indices and equity spot indices. The expected component of changes of macro variables insignificantly affect volatility. The corresponding surprise component positively and significantly affect volatility. The exchange rate market is mostly affected by macro announcements. Moreover, news related jumps are higher in magnitude than non-news-related jumps. Most of the announcements cause significant increases in jump size.

Suggested Citation

  • Dimitrios I. Vortelinos, 2015. "The Effect of Macro News on Volatility and Jumps," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 425-447, November.
    • Handle: RePEc:cuf:journl:y:2015:v:16:i:2:vortelinos
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    References listed on IDEAS

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    Cited by:

    1. Seok, Sangik & Cho, Hoon & Ryu, Doojin, 2022. "Scheduled macroeconomic news announcements and intraday market sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    2. Roy Trivedi, Smita, 2018. "Exchange rate volatility: Trader's beliefs and the role of news," MPRA Paper 89330, University Library of Munich, Germany.
    3. Damien Kunjal & Faeezah Peerbhai & Paul-Francois Muzindutsi, 2022. "Political, economic, and financial country risks and the volatility of the South African Exchange Traded Fund market: A GARCH-MIDAS approach," Risk Management, Palgrave Macmillan, vol. 24(3), pages 236-258, September.
    4. Smita Roy Trivedi, 2022. "The Janus view: Do market participants looking into the past impact foreign exchange volatility?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3990-4001, October.

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    More about this item

    Keywords

    Macroeconomic announcements; Volatility; Jumps; Financial markets;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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