This study examines the connections between stock prices and key macroeconomic
indicators: inflation, industrial production, interest rates, money supply and select …

Purpose The aim of this research is to re-examine the dynamic linkages between
macroeconomic variables and the stock market indices in Malaysia following some …

We investigate the impact of monetary policy announcements on stock market volatility in the
US, Canada, Japan, the UK, Germany, France and Italy during the 2006–2016 period. More …

It is generally known that violent oil price volatility will cause market panic; however, the
extent to which is worthy of empirical test. Firstly, this paper employs the TVP-VAR model to …

We analyze the relationship between the stance of monetary policy and the implicit risk
aversion in European Stock market prices in an international open-economy framework. We …

This research investigates the information content of volatility trading in VIX derivatives
under a high-frequency framework. We provide empirical evidence that the abnormal order …

We examine the intraday index return and volatility responses of two Latin American equity
markets to US macroeconomic news releases around the periods of the US and European …

We examine interdependence between the implied volatilities of US and five European
markets in an integrated multivariate system that allows interactions in the first and second …

This study explores the performance of volatility-based trading strategies on scheduled
news announcement days. The design of the investment strategies is based on the fall of the …

This paper addresses the question of how macroeconomic announcements affect market
participants' intra-day risk-neutral expectations. In contrast to widely used quotes data, we …