Protectionism and Perturbation: Market Volatility Following Tariff Shocks

Understanding the drivers of financial market volatility is a central question in empirical finance. While prior research has focused primarily on scheduled macroeconomic announcements, less is known about the effects of sudden and unscheduled policy communication. This paper examines whether tariff announcements are associated with changes in intraday volatility in U.S. equity markets. Using high-frequency CRSP and TAQ data, I construct realized volatility measures and analyze market behavior around precisely timestamped trade-policy announcements during the Trump administration. The empirical strategy combines daily panel regressions with minute-level event-study designs to examine both broader volatility dynamics and immediate market responses to policy communication. Across specifications, the results provide little consistent evidence that tariff announcements systematically affect volatility. While some event-time patterns display localized fluctuations around announcement minutes, these effects are small, heterogeneous across events and sectors, and not robust across specifications. Similarly, daily regressions yield imprecise estimates that are sensitive to the inclusion of time controls. Taken together, the findings suggest that the volatility effects of tariff-related policy communication are difficult to detect reliably in the data.