and on days with high volatility. In addition, we assess the effect of algorithmic trading on market quality around …

We decompose global stock market volatility shocks into financial originated shocks and non-financial originated shocks …. Global stock market volatility shocks arising from financial sources reduce substantially more global outputs and inflation … than non-financial sources shocks. Financial stock market volatility shocks forecasts 16.85% and 16.88% of the variation in …

macroeconomic indicators. By analyzing the KOSPI 200 options intraday data, we find that the abnormal implied volatility … increase in implied volatility around these announcements is more pronounced for puts than for calls. These effects are also … more substantial impact on implied volatility than other announcements, even after controlling for news surprise components …

interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and … differences and similarities utilizing an asymmetric measure of volatility. We find that there are major differences between these …

The oil price volatility index (OPVI) is a direct and more accurate measure of oil price uncertainty. The significance … of the crude oil prices volatility index is used in this paper to examine the effects of crude oil uncertainty on the … (−) fluctuations of the crude oil price volatility index (OPVI). Moreover, the paper measure whether the reform of 2012 stimulated the …

assessment of its movement, and the task becomes all the more difficult when SENSEX witnesses a lot of volatility. Macroeconomic …

This paper examines the effect of macroeconomic releases on stock market volatility through a Poisson … relevant to explain jump dynamics and improve volatility forecasts on event days is provided. -- Conditional jump intensity … ; conditional volatility ; macroeconomic announcements …

macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC … immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The …