Evolution is a big topic and covers all levels of biological organization: molecules and genes, individuals and populations, and every taxonomic level from subspecies to major kingdoms. For this reason the discipline is often subdivided into macroevolution and microevolution, both of which deal with evolutionary processes, but at different ecological and temporal scales.
Microevolution includes the processes that occur at and below the species or population level, like changes in allele frequencies, genetic mutations, natural selection, and genetic drift. Macroevolutionary processes include everything that happens at the level of organization above the species or population, and at longer (geologic) time scale. Macroevolution is concerned with things like adaptive radiation, the tempo of evolution, and the origins of major groups.
Is speciation a micro- or macroevolutionary process? Both. It is impossible to study speciation at only one level of organization, as it involves processes that occur at all levels of biological organization. Genetic mutations, changes in allele frequencies, genetic and gametic incompatibilities, and changes in population traits all contribute to the speciation process. Speciation is responsible for major evolutionary patterns over huge geologic timescales—the evolution of major phyla, adaptive radiations, and the generation of the world's insane biodiversity.