Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....

This paper investigates the impact of monetary policy surprises by the FED or Bundesbank/ECB on the return volatility of German stocks and bonds using a GARCH-M model. We show that stock return volatility is susceptible to monetary policy surprises in the United States, whereas monetary policy...