We study the dynamics of liquidity and news releases around jumps by identifying their intraday timing for the Dow … demand for immediacy, amplified by the release of news. Liquidity supply remains nevertheless high and there is strong … evidence of resilience. Liquidity shocks in the effective spread and the number of trades are the key drivers behind the …

-related factors incorporating price jumps, volatility jumps, and liquidity (along with the market) explains the cross sectional …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …, this is only true if news items are classified as highly relevant. Liquidity supply reacts less distinctly due to a …

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …

This paper constructs unbiased and model-free measures of daily and hourly volatility of the overnight interest rate … increases in volatility and the most notable variations of its intraday pattern occur at the end of the reserve maintenance … period and at the end of each quarter. The average effect on market volatility of Eurosystem money market operations and …

This paper investigates the relationship between CEO turnovers and shareholder wealth and/or the volatility of firm … successors share a similar power level and a lower volatility for turnovers in which successors have less power. Volatility is … lower and liquidity is higher when CEO turnovers involve successors with less power. …

financial markets as the literature has here-to-fore been focused too narrowly on Gaussian variance as a measure of volatility …