around news releases increases the post-announcement stock return volatility, whereas institutional investor attention has a … small but negative impact on volatility on days following news releases on average over the cross-section of companies …

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 …

We investigate the impact of monetary policy announcements on stock market volatility in the U.S., Canada, Japan, the U … easing announcements of domestic and foreign central banks on realized volatility before, during, and after the event. We … find that on the day of an interest rate announcement of the domestic central bank, volatility increases in a manner that …

the volatility effects associated with regularly scheduled US Federal Reserve quantitative easing (QE) announcements …, using high-frequency returns data. We find significant and substantial increases of stock market volatility immediately … increase in volatility is largest when the market is provided with forewarning of an announcement. Unexpected announcements …

model specifications, volatility effects and other robustness considerations continue to support our results. These results …

news. This information accounts for 49.6% of overnight idiosyncratic volatility (compared to 12.4% during trading hours …

volatility increases prior to the macroeconomic news release and drops after the announcement in both markets. This implies that …

This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information …