Terrorist incidents exert a negative, albeit usually short-lived, impact on markets and equity returns. Given the integration of global financial markets, mega-terrorist events also have a high contagion potential with their shock waves being transmitted across countries and markets. This paper...

This paper examines the effects of quantitative easing (QE) announcements by the European Central Bank (ECB), the Bank of England (BoE) and the Bank of Japan (BoJ) on the intraday volatility transmissions among EUR, GBP and JPY. The empirical results indicate: (i) an increased volatility...