differences of opinion is left, and hence volatility is decreased. …

reveals no major importance of the bank balance sheet channel for the relationship between stock market volatility and …

We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using … high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock … that, as the publicly available information becomes stale, volatility effects and its persistance should increase, as the …

This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the … European utilities, they lead to an appreciation of oil and gas stocks. Most importantly, we show that oil market volatility … negatively affects European oil and gas stocks. In contrast, energy stock volatility is not driven by volatility of the resource …

. Announcements of both institutes are also clearly and immediately reflected in the volatility, which remains at a significantly … higher level for approximately two minutes slightly elevated for approximately 15 minutes. Combining returns and volatility … in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …

at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that …