This paper studies financial market volatility and jump responses to macroeconomic news announcements. Based on two …

liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …

volatility during the 7-year total examined time period. Splitting the time series into 3 individual sub-periods the results … conditional volatility during financial crises. Furthermore, announcements of GDP and ZEW index calm the exchange rate …'s conditional volatility during the post-crises period. Finally, announcements of GDP data and PMI index form production sector …

great deal of academic attention in efforts to quantify market responses in terms of volatility and jumps. We investigate … caused by the next release of the same macroeconomic value. We measure this impact by means of both post-event volatility …

prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …