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

volatility series are being tested for significant reactions to the Brexit event. The results indicate mixed results regarding … the abnormal cumulative return series, but the volatility series were found to be significantly affected by the mentioned …

literature, we are able to identify a significant impact of macroeconomic surprises on foreign exchange volatility of JPY …

Various macroeconomic announcements are known to influence asset price volatility. While contemplating the impact of a … underlying cash market, pushes futures prices lower and volatility higher. Conversely, a higher bid-to-cover ratio, which … employment data as having a significant volatility impact on Treasury futures, and highlight the importance of non farm payrolls …

volatility index (VIX). I find a significant negative contemporaneous relationship between changes in VIX and both news sentiment … between previous and current period changes in implied volatility and stock returns, while current period and lagged news … strategy whereby high (low) levels of implied volatility signal attractive opportunities to take long (short) positions in the …