Macroeconomic News Announcements, Systemic Risk, Financial Market Volatility and Jumps

@inproceedings{Huang2015MacroeconomicNA,
  title={Macroeconomic News Announcements, Systemic Risk, Financial Market Volatility and Jumps},
  author={Jinxin Huang},
  year={2015}
}
This paper studies financial market volatility and jump responses to macroeconomic news announcements. Based on two decades of high-frequency data, we finds that there are significantly more jumps on news days than on no-news days, with the bond market being more responsive than the equity market, and nonfarm payroll employment being the most influential news. Both the first moment of news surprises and the second moments of disagreement and uncertainty affect financial market responses, with… CONTINUE READING