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 …

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 …

intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance … function. This allows us to differentiate between the consistent price reaction to surprising news and traders? uncertainty …, in particular ?bad? news. In contrast, if surprises in related headlines cross-validate each other, less room for …

return process by including appropriate variables accounting for the news flow into both the mean and the variance function …. This allows us to differentiate between the consistent price reaction to surprising news and the traders' uncertainty about … almost instantaneously incorporated into T-bond futures prices. Nevertheless, large surprises, and 'bad' news in particular …

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 …

point of view, the main innovation lies in disentangling 'good' macroeconomics news from 'bad' news, and, simultaneously …. 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 …

This paper looks at the interplay of volatility and liquidity on the Euronext trading platform during the December 2 …-traded stocks on Euronext, we study the ex-ante liquidity vs volatility and ex-post liquidity vs volatility relationships to … ascertain if the high volatility led to decreases in liquidity and large trading costs. We show that the provision of liquidity …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns … go off the long run trajectory is different in case of positive and negative market news. Thus it is indispensable to …