. Key contributions are in terms of assessing (i) risk and return patterns at specific time periods of the trading session … return, and (iii) the impact of the first vaccination rollout in the U.S. on intraday Exchange-Traded-Funds (ETF) returns. We … return models, and impulse responses to capture the effect of the 2019 novel coronavirus (COVID-19) vaccine rollout in the U …

during Treasury POMO. Aggressive HFT trading becomes more consistently profitable, and HFT firms earn a higher return per …

, but decreased returns volatility. Third, political news, both good and bad, can affect stock return and stock return … volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …

between the stock return and a country’s EPU. Evidence suggests that a rise in the U.S. EPU causes not only a decline in a … country’s stock return, but also a negative spillover effect on the global market; however, we cannot find a comparable … significantly affects stock return worldwide. This study also finds an indirect COVID-19 impact that runs through a change in …

significant return and volatility spillover from the US market to the Indian stock market in the post-COVID-19 period. The results …We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …

, to February 12, 2021, this study documents a strong positive comovement between implied volatility indices and two … proxies of the COVID-19 fear. However, in all the cases, the infectious disease equity market volatility index (IDEMVI), the … COVID-19 proxy that is more representative of the stock market, exhibits a stronger positive comovement with volatility …