Download or read book Volatility Jumps and Macroeconomic News Announcements written by Kam Fong Chan and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: While prior literature documents a link between macroeconomic news and price jumps, this paper demonstrates two channels through which economic announcements also manifest in volatility jumps. First, there is a strong coincidence of volatility jumps with scheduled announcements. Second, the mean jump size is an asymmetric function of the news surprise, with bad news resulting in larger jumps than good news. Furthermore, realized volatility (RV) and option-implied volatility (IV) behave very differently over the days surrounding announcements. RV increases sharply on announcement days, while IV tends to decline consistent with the resolution of heightened uncertainty embedded in option prices.

Download or read book Macroeconomic News Announcements Systemic Risk Financial Market Volatility and Jumps written by Xin Huang and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Macroeconomic News Announcements and Stock Market Jump Intensity Dynamics written by Jose Gonzalo Rangel and published by . This book was released on 2010 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the effect of macroeconomic releases on stock market volatility through a Poisson-Gaussian-GARCH process with time varying jump intensity, which is allowed to respond to such information. It is found that the day of the announcement, per se, has little impact on jump intensities. Employment releases are an exception. However, when macroeconomic surprises are considered, inflation shocks show persistent effects while monetary policy and employment shocks show only short-lived effects. Also, the jump intensity responds asymmetrically to macroeconomic shocks. Evidence that macroeconomic variables are relevant to explain jump dynamics and improve volatility forecasts on event days is provided.

Download or read book Stock Market Returns and Volatility written by Mansour Alharaib and published by . This book was released on 2018 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines how stock market returns and volatility responses to macroeconomic news announcements in US and Europe, and oil prices. Moreover, the market risk associated with these stock markets based on selected countries and regions is also analyzed here. In all chapters, the data is in a weekly time horizon and it covers 21 countries from different contents. In particular, Data covers three different time periods, i.e. full sample from 1/1/2000 to 12/31/2015, before the financial crisis, i.e. from 1/1/2000 to 9/27/2008 and after the financial crisis, i.e. from 10/11/2008 to 12/31/2015. Chapter 2 studies the impact of macroeconomic news announcements on stock markets in 21 countries using US and European countries macroeconomic news announcements. The first part investigates the impact of macroeconomic news announcements surprises in US and European Countries on stock markets returns in these countries. The second part analyzes the impact of macroeconomic news announcements in US and European Countries on stock markets volatility in these countries. Our results show that stock markets in selected countries react differently to macroeconomic news announcement in US and Europe. Chapter 3 study the interaction and volatility spillover between oil prices and stock markets returns and volatility in selected countries and regions. Oil prices are based on West Texas Intermediate (WTI). The analysis use VAR(1)-GARCH(1,1) model to capture the interdependence between stocks market and oil prices. The findings show that there is interdependence between stock markets and oil price changes in most selected countries and regions. Chapter 4 study the market risk in stock markets returns in selected countries and regions using IGARCH(1,1) and GARCH(1,1) to obtain the value at risk (VaR) and the expected shortfall (ES). The findings of chapter 4 show that market risk was high for most selected countries before the financial crisis and low after the financial crisis.

Download or read book Macroeconomic News Announcements and Corporate Bond Credit Spreads written by Jing-Zhi Huang and published by . This book was released on 2005 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the impact of scheduled macroeconomic news announcements on the corporate bond market using daily credit spreads from January 1997 through June 2003. We find that macroeconomic announcements mainly affect high-yield bonds. In particular, the announcement surprises in leading economic indicators and employment reports have significant impact on credit spreads of high-yield bonds. We also find that the conditional volatility of credit spreads on high-yield bonds increases on announcement days for the advance monthly retail sales. Finally, we find that the VIX volatility index, not macroeconomic announcements, has significant impact on jumps in daily credit spreads.

Download or read book Information Shocks Jumps and Price Discovery Evidence from the U S Treasury Market written by George J. Jiang and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Macroeconomic Announcements and Volatility of Treasury Futures written by Li Li and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Utilizing open-close returns, close-close returns and volume data, we examine the reaction of the Treasury futures market to the periodically scheduled announcements of prominent U.S. macroeconomic data. Heterogeneous persistence from scheduled news vs. non-scheduled news is revealed. Strong asymmetric effects of scheduled announcements are presented: positive shocks depress volatility on consecutive days, while negative shocks increase volatility. Announcement-day shocks have small persistence, but great impacts on volatility in the short run. Investigation into volume data shows that announcement-day volume has lower persistence than non-announcement-day volume. No statistically significant risk premium manifests on the release dates. Compared with the implied volatility and realized volatility data, we find our model successful in forming both in-sample and out-of-sample multi-step forecasts. Distinctions are made and tested among microstructure theories that differ in predictions of the impact of scheduled macroeconomic news on volatility and volatility persistence. Asymmetric effects between positive and negative shocks from scheduled news call for further exploration of microstructure theory.

Download or read book Essays on Equity Option Behavior Surrounding Macroeconomic Announcements written by Garrett T. DeSimone and published by . This book was released on 2017 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation presents two empirical studies on equity option behavior around scheduled macroeconomic announcements. In the rst essay, I analyze the predic- tive power of implied volatilities of S&P 500 options for underlying index returns on macroeconomic news days. I design a measure of uncertainty based on economist fore- cast dispersion. During high uncertainty announcements, the steepness of the implied volatility function strongly predicts negative next day returns on the S&P 500, im- plying that buying pressure on out-of-the-money puts precedes bad economic news. Firm-level implied volatilities for cyclical and high beta stocks also exhibit this be- havior, indicating that options traders can predict the impact of announcements on individual stock returns. My ndings are consistent with the notion that informed options traders can anticipate and capitalize on the upcoming macroeconomic news. ☐ In the second essay, delta-neutral straddles have high returns when realized volatility is higher than expected, or when price jumps occur. This makes a straddle an eective proxy for studying variance and jump risk. In my second essay, I analyze returns on S&P 500 delta-neutral straddles to obtain the size and sign of the vari- ance and jump risk premiums on macroeconomic announcement days. Announcement day returns comprise over 77% of the total negative annualized returns on straddles, implying a vastly larger premium for insuring against changes in volatility and jumps around systematically released market news. In particular, on days when the Consumer Price Index, Non-Farm Payrolls, Industrial Manufacturing, and Industrial Production are announced, average returns are strongly negative ranging from -1.3% to -2.5%. In comparison, non-announcement days have average straddle returns of -0.1%, indicating that insurance for volatility and jumps resulting from random economic news shocks can essentially be obtained for free. However, straddles earn highly positive returns during Federal Open Market Committee (FOMC) meetings. This pattern of high re- turns to straddles is consistent with investor anticipation of sharp decreases in realized volatility as result of government put protection. High average returns compensate investors on FOMC days for bearing risks associated with stabilizing interventions.

Download or read book Do Macroeconomic Announcements Cause Asymetric Volatility written by Peter de Goeij and published by . This book was released on 2012 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 Samp;P 500 index, the NASDAQ index, and the 1 and 10 year U.S. Treasury bonds, for January 1982 - August 2001, 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 thatasymmetric volatility in the Treasury bond market can be largely explained by these macroeconomic announcement shocks. This suggests that the asymmetric volatility found in government bond markets are likely due to misspecification of the volatility model. After including macroeconomic announcements into the model, the asymmetry disappears. Becausefirm-specific news is the most important source of information in the stock market, the asymmetries in stock volatility do not disappear after incorporating macroeconomic announcements into the volatility model.

Download or read book Do Macroeconomic Announcements Cause Asymmetric Volatility written by Peter De Goeij and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Impacts of Macroeconomic News Announcements on Intraday Implied Volatility written by Jieun Lee and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Market Volatility and Price Discovery written by Jose Gonzalo Rangel and published by . This book was released on 2006 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Roughing it Up written by Torben Gustav Andersen and published by . This book was released on 2005 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: A rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high-frequency returns coupled with simple modeling procedures. Building on recent theoretical results in Barndorff-Nielsen and Shephard (2004a, 2005) for related bi-power variation measures, the present paper provides a practical and robust framework for non-parametrically measuring the jump component in asset return volatility. In an application to the DM/$ exchange rate, the S&P500 market index, and the 30-year U.S. Treasury bond yield, we find that jumps are both highly prevalent and distinctly less persistent than the continuous sample path variation process. Moreover, many jumps appear directly associated with specific macroeconomic news announcements. Separating jump from non-jump movements in a simple but sophisticated volatility forecasting model, we find that almost all of the predictability in daily, weekly, and monthly return volatilities comes from the non-jump component. Our results thus set the stage for a number of interesting future econometric developments and important financial applications by separately modeling, forecasting, and pricing the continuous and jump components of the total return variation process.

Download or read book Jumps Cojumps and Macro Announcements written by Jérôme Lahaye and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "We analyze and assess the impact of macroeconomic announcements on the discontinuities in many assets: stock index futures, bond futures, exchange rates, and gold. We use bi-power variation and the recently proposed non-parametric techniques of Lee and Mykland (2006) to extract jumps. Beyond characterizing the jump and cojump dynamics of many assets, we analyze how news arrival causes jumps and cojumps and estimate limited-dependent-variable models to quantify the impact of surprises. We confirm previous findings that some surprises create jumps. However, many announce-ments do not create jumps and many jumps are not related to announcements. The propensity of surprises to create jumps differs across asset classes, i.e., exchange rates, bonds, stock index. Payroll announcements are most important on stocks and bonds futures markets. Trade related news often creates cojumps on exchange rate markets"--Federal Reserve Bank of St. Louis web site.

Download or read book Macroeconomic News Surprises and Volatility Spillover in the Foreign Exchange Markets written by Walid Ben Omrane and published by . This book was released on 2018 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper addresses the central open issue in exchange rate economics: the link between exchange rate volatility and economic fundamentals. In the framework of a multivariate volatility model that allows for volatility spillover, we develop a new impulse response analysis to estimate and decompose the simultaneous effect of macroeconomic news surprises on the foreign exchange volatility. We show that news announcement effects include two components; a direct and an indirect effect induced by volatility spillover. We show that more than 50% of the total accumulated news effect on the Pound and the Yen are due to volatility transmission from the two major currencies and mainly from the Euro.

Download or read book Economic News Releases and Financial Markets in South Africa written by Konstantinos Gkillas and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the impact of economic news releases on returns, volatility and jumps of the stock and foreign exchange markets of South Africa. We also assess the impact of macroeconomic determinants. The dataset range is fifteen years covering the period from January, 2000 to December, 2014. Results are robust to different sub-periods before and after the global financial crisis of 2008. Volatility is estimated with the use of the median realized variance estimator (Andersen et al., 2012). Jumps are detected and estimated as in Duong and Swanson (2015). The impact of the announcements is assessed building on the study by Huang et al. (2015). Returns, volatility and jumps of both stock and foreign exchange markets are significantly explained nationally by macroeconomic fundamentals and economic news releases.

Download or read book Integrated Uncertainty in Knowledge Modelling and Decision Making written by Van-Nam Huynh and published by Springer. This book was released on 2018-03-09 with total page 489 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 6th International Symposium on Integrated Uncertainty in Knowledge Modelling and Decision Making, IUKM 2018, held in Hanoi, Vietnam, in March 2018.The 39 revised full papers presented in this book were carefully reviewed and selected from 76 initial submissions. The papers are organized in topical sections on uncertainty management and decision support; clustering and classification; machine learning applications; statistical methods; and econometric applications.