This article uses a direct test of the impact of economic news on stock volatility. The main interest is to test whether the asymmetric response of volatility can be due to the effect of bad news. To do this, this study takes items of news into account as exogenous variables. The analysis is...

In line with the transactions cost theory, this paper shows that the futures market with its higher liquidity and lower transactions costs, leads the options market in the price discovery process. Liquidity and transaction costs are also shown to play a key role in market sensitivity to...