Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009
London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However … direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … are quantified by a high-frequency VAR model using 20 second intervals. Analyzing a cross-section of stocks traded at the …