Hautsch, NikolausHess, DieterVeredas, David2017-12-022017-12-02201110.1016/j.jbankfin.2011.03.004http://hdl.handle.net/20.500.12127/5233We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. We decompose bid and ask returns into a common (“efficient return”) factor and two market-side-specific components capturing market microstructure effects. The corresponding variance components reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and are positively influenced by news. The proportion of noise-induced variances is highest before announcements and significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow imbalances.enAccounting & FinanceJournal of Banking and Finance1923971923981818746482