Public information arrival: Price discovery and liquidity in electronic limit order markets
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DOI: 10.1016/j.jbankfin.2012.11.008
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More about this item
Keywords
Information; Liquidity; Price discovery; News; Limit order markets;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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