Abstract: Based on the realized volatility rate and the ARFIMA model, this paper investigates the transmission mechanism of China’s macroeconomic information (the leading indicators, the coincident indicators and the lagging indicators) to international investors from the perspective of stock market volatility and the release of macroeconomic information. The empirical results suggest that the volatility of US stock markets is obviously increased at the date of the release of China’s macroeconomic information, so it is really affected; and the leading indicators are significantly impacting US stock markets. When the expected deviation is introduced, it is found that the international investors make greater response to the negative deviation information of the leading indicators. The release of China’s macroeconomic information does have a significant effect on US stock market volatility, which is significant for us to further explore the function of macroeconomic information and the transmission mechanism of stock market volatility.

Key words: release of macroeconomic information; stock market; realized volatility; accidental shocks