Abstract
The main purpose of this paper is to analyse the stock market volatility behaviour around litigation announcements. It is hypothesized that the arrival of bad (good) litigation news induces a significant positive or (negative) volatility behavior change. This volatility and uncertainty is transmitted by some more sensible industries that are following on suit. Using an ARMA-GARCH processes, we show that litigation news seem to affect the stock market volatility. Results reveal that litigation news is critical determinants of the index volatility. The technology information and communication are the most affected sectors.