This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday data for 8 different stock market indices. Second, a range...

In this paper, we determine whether intraday price dynamics observed on Euronext help characterize market liquidity in real time. We generate 15-minute price movement configurations based on High-Low-Open-Close (HLOC) patterns and measure liquidity in terms of spread, depth, order imbalance,...

I examine the relationship between aggregate news sentiment, S&P 500 Index returns, and changes in the implied volatility index (VIX). I find a significant negative contemporaneous relationship between changes in VIX and both news sentiment and stock returns. This relationship is asymmetric...

In a single information transfer setting, we detect both under- and overreactions of stock prices to corporate earnings news. We find that the stock prices of a firm's blockholder underreact to the firm's earnings news but the stock prices of the firm overreact to its blockholder's earnings...

This paper advances the literature on the dynamics of the U.S. Dollar-Mexican Peso (USD/MXN) volatility process by leveraging high-frequency data. First, it documents the factors that characterize the intraday volatility process of the USD/MXN exchange rate at high frequencies based on a sample...

This paper investigates the impact of the yearly announcement of realized emissions on the European carbon permit market. We find that this event generally leads to significant absolute abnormal returns on the event day, which are accompanied by increased trading volumes and high intraday...

Using a representative agent model in which the investor is averse to ambiguity (Knightian uncertainty) and sees an ambiguous piece of news about the fundamental value of a risky asset, I show a number of predictions for the dynamics of stocks around news: Stocks respond more strongly to bad...

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

This paper introduces a new information density indicator to provide a more comprehensive understanding of price reactions to news and, more specifically, to the sources of jumps in financial markets. Our information density indicator, which measures the abnormal amount of noisy “ticker”...