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 … shown. -- firm-specific news ; news sentiment ; high-frequency data ; volatility ; liquidity ; abnormal returns …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- efficient return ; macroeconomic announcements ; microstructure noise ; informational volatility …

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 … shown. -- Firm-specific News ; News Sentiment ; High-frequency Data ; Volatility ; Liquidity ; Abnormal Returns …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- Efficient Return ; Macroeconomic Announcements ; Microstructure Noise ; Informational Volatility …

reflect information-driven and noise-induced volatilities.We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- effcient return ; macroeconomic announcements ; microstructure noise ; informational volatility …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow …

autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely …

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

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

have a "cool off" effect on markets, but rather accelerate volatility and bid-ask spreads. This implies a regulatory trade …