The Impact of Macroeconomic Announcements on Volatility of HS300 Index in Different Market States

Based on the high frequency trading data,the impact of macroeconomic announcements on volatility of HS300 stock index is investigated in different market states and different trading time.The results show that the impact of macroeconomic announcements on volatility is greater in non-trading time than in trading time in different market states,and the impact of macroeconomic announcements in different trading time on asymmetric volatility is significantly different in bull market and bear market,and the impact is grater in bull market than the impact in bear market.The research conclusions provide an empirical basis for the choice of macroeconomic announcements timing.