direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … shown. -- firm-specific news ; news sentiment ; high-frequency data ; volatility ; liquidity ; abnormal returns … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …

significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow …We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high … reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … shown. -- Firm-specific News ; News Sentiment ; High-frequency Data ; Volatility ; Liquidity ; Abnormal Returns … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …

significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow …We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high … reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and …