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

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 …

macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC …40 and the DAX indices to macroeconomic surprises. We find that both American and German macroeconomic releases cause an … immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The …

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