Impact of macroeconomic announcement on liquidity measures

Student: Shevchenko Maria

Supervisor: Sergey Victorovich Gelman

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2016

The main purpose of this work is to identify the effect from macroeconomic announcement on liquidity measures. Two main types of announcements were investigated: local, presented by Russian news, and global, which represent U.S. announces according to recent papers. We analyze effect on effective spread, quoted spread, realized spread and price impact for the period from Aug 2015 to Jan 2016. No significant effect was found from domestic news disclosure; however data provide strong evidence that American macroeconomic announcements widening effective spread and quoted spread for one hour before disclosure and for realized spread for three hours before.

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