This paper examines the intraday changes of gold and crude oil implied volatility around the release of FOMC statements. We find that monetary policy releases lead to intraday uncertainty resolution in these commodity markets. The resolution of uncertainty is stronger after announcements...

We analyze the impact of vaccine news announcements by leading vaccine companies on the financial and commodity markets from January to December 2020. We show that the vaccine announcements moved stock prices of the leading vaccine companies, stock markets in the U.S. and Europe (but not in Asia...

We use sequential energy inventory announcements to shed new light on the informational efficiency of financial markets. Our findings provide clear evidence of inefficiency in crude oil futures and stock markets. This inefficiency can be exploited by sophisticated traders. We examine the effect...

This paper investigates the predictive content of the VIX options trading volume for the future dynamics of the underlying VIX index. Using a novel dataset from the Chicago Board Options Exchange, we calculate the put-call ratio based on the VIX option volume initiated by buyers to open new...

In 2017 the UK Statistics Authority discontinued the early access of government officials to market-sensitive macroeconomic data. We examine the effect of this policy change on price adjustment in the foreign exchange futures market around major U.K. macroeconomic announcements. Three...

This paper examines the information content of firm-specific sentiment extracted from Twitter messages. We find that Twitter sentiment predicts stock returns without subsequent reversals. This finding is consistent with the view that tweets provide information not already reflected in stock...