Previous research has been unable to identify a strong link between oil prices and economic news. We reexamine this relationship using high frequency intraday data and relatively new methodology that we use to estimate jumps in oil prices. We find a surprisingly strong relation between high...

This study examines the reaction of four major equity markets of the world to the US equity market fear index, i.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility in equity markets. Our paper examines the daily data for...