Do Macroeconomic Announcements Cause Asymmetric Volatility ? ¤

  title={Do Macroeconomic Announcements Cause Asymmetric Volatility ? ¤},
  author={Peter de Goeij and Wessel Marquering},
  • Peter de Goeij, Wessel Marquering
  • Published 2003
In this paper we study the impact of macroeconomic news announcements on the conditional volatility of stock and bond returns. Using daily returns on the S&P 500 index, the NASDAQ index, and the 1 and 10 year U.S. Treasury bonds, some interesting results emerge. Announcement shocks appear to have a strong impact on the (dynamics of) bond and stock market volatility. Our results provide empirical evidence that asymmetric volatility in the Treasury bond market can be largely explained by these… CONTINUE READING
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