Persistent Impact of Macroeconomic Announcements in Financial Market Data

Abstract

The impact of scheduled releases of macroeconomic variables on the dynamics of financial markets has always attracted a great deal of academic attention in efforts to quantify market responses in terms of volatility and jumps. We investigate whether the occurrence of market reaction due to macroeconomic announcements has an impact on the probability of a reaction caused by the next release of the same macroeconomic value. We measure this impact by means of both post-event volatility changes and a proposed methodology for jump matching. Our findings show that previous market impact significantly changes the probability of an impact detected for the current release.