Abstract
We examine the extent to which equity market returns volatility is affected by major macroeconomic announcements in an emerging market, Indonesia, using high-frequency data and a rolling observation model. We find different patterns of intraday volatility when we decompose the volatility on a monthly, daily, and subsample period basis. Furthermore, while we find that most domestic macroeconomic announcements impact on the volatility, contrary to the literature, we find no evidence of impact from the US macroeconomic announcements. We also find the 2008 global financial crisis significantly influences the impact of macroeconomic announcements on the volatility of Indonesian equity market returns.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have