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The Impacts of Macroeconomic News Announcements on Intraday Implied Volatility

Author

Listed:
  • Jieun Lee

    (Economic Research Institute, The Bank of Korea)

  • Doojin Ryu

    (College of Economics, Sungkyunkwan University)

Abstract

This study examines the response of intraday options-implied volatilities to scheduled announcements of major macroeconomic indicators. By analyzing the KOSPI 200 options intraday data, we find that the abnormal implied volatility significantly increases around announcements of macroeconomic news and that the extent of the response is influenced by a variety of factors, including the type of macroeconomic indicators released, option type and economic conditions. Specifically, the increase in implied volatility around these announcements is more pronounced for puts than for calls. These effects are also more pronounced in the crisis and post-crisis periods than in the pre-crisis period. Monetary policy announcements have a more substantial impact on implied volatility than other announcements, even after controlling for news surprise components. Finally, the impact appears to be greater for policy rate hikes than for policy rate cuts.

Suggested Citation

  • Jieun Lee & Doojin Ryu, 2019. "The Impacts of Macroeconomic News Announcements on Intraday Implied Volatility," Working Papers 2019-2, Economic Research Institute, Bank of Korea.
    • Handle: RePEc:bok:wpaper:1902
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    File URL: http://papers.bok.or.kr/RePEc_attach/wpaper/english/wp-2019-2.pdf
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    More about this item

    Keywords

    Event study; Intraday volatility; KOSPI 200 options; Macroeconomic news announcement;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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