trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found … volatility-motivated option trading, and our results suggest that this type of option trading could be motivated by hedging …

This paper studies the effect of COVID-19 on the volatility of Australian stock returns and the effect of negative and … positive news (shocks) by investigating the asymmetric nature of the shocks and leverage impact on volatility. We employ a … than the GARCH model in estimating the volatility of the Australian stock returns. However, another interesting finding is …

. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first … fewer flights after the outbreak. Finally, local attention predicts volatility, bid-ask spreads and nonlocal attention, not …

response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …