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 …

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 …

volatility during the 7-year total examined time period. Splitting the time series into 3 individual sub-periods the results … conditional volatility during financial crises. Furthermore, announcements of GDP and ZEW index calm the exchange rate …'s conditional volatility during the post-crises period. Finally, announcements of GDP data and PMI index form production sector …

highly significant effects on the level and volatility of energy futures prices and their trading volumes. I find that, on …