Chew Lian Chua and Sarantis Tsiaplias, "Information Flows and Stock Market Volatility", Journal of Applied Econometrics, Vol. 34, No. 1, 2019, pp. 129-148. Technology stocks application: The data for this application are proprietary and were obtained from the Yahoo Finance website (https://finance.yahoo.com). The data are for Google (GOOGL), Apple (AAPL), Intel (INTC) and Microsoft (MSFT). Daily returns were computed as 100 times the first difference of log closing prices over the period 24 March 2005 to 11 December 2013 for a total of 2,196 observations for each stock. S&P index application The data for this application are proprietary and were obtained from the Zacks Equity Prices backtesting database via the Quandl data platform (https://www.quandl.com/). Daily returns for the S&P 400, S&P 500 and S&P 600 indexes were computed as 100 times the first difference of log closing index values over the period September 10, 2007 to August 28, 2013 for a total of 1,500 observations per index.