This study examines the response of intraday options-implied volatilities to scheduled announcements of major macroeconomic indicators. By analyzing the KOSPI 200 options intraday data, we find that the abnormal implied volatility significantly increases around announcements of macroeconomic...

By analyzing a novel transaction-level dataset, this study reveals the microstructural liquidity dynamics around scheduled macroeconomic announcements. Specifically, we examine whether investor composition contributes to liquidity fluctuations in a highly liquid and purely order-driven index...

We analyze the effect of scheduled macroeconomic news on intraday market sentiment by comparing the sentiment of the announcement date with that of the non-announcement date. The announcement of the macroeconomic indicators itself does not change the market sentiment, but the direction of the...