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Electronic limit order book and order submission choice around macroeconomic news

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  • Erenburg, Grigori
  • Lasser, Dennis
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    Abstract

    We investigate the dynamics of the displayed part of the Island ECN limit order book for the equity-index-linked securities market around macroeconomic news releases. Our results indicate that the quality of the electronic market, measured by spread and depth, deteriorates during the releases. Furthermore, they show that traders appear to switch to more aggressive strategies as early as 3 min before an announcement and are most aggressive within the first minute after the announcement. Also, there is a noticeable difference in the response of the limit order book to the macroeconomic news during pre-market hours relative to regular trading hours.

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    Bibliographic Info

    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 18 (2009)
    Issue (Month): 4 (October)
    Pages: 172-182

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    Handle: RePEc:eee:revfin:v:18:y:2009:i:4:p:172-182

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    Web page: http://www.elsevier.com/locate/inca/620170

    Related research

    Keywords: Macroeconomic announcements Limit order book Adverse selection;

    References

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    Cited by:
    1. Martin L. Scholtus & Dick van Dijk & Bart Frijns, 2012. "Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements," Tinbergen Institute Discussion Papers 12-121/III, Tinbergen Institute.
    2. Scholtus, Martin & van Dijk, Dick & Frijns, Bart, 2014. "Speed, algorithmic trading, and market quality around macroeconomic news announcements," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 89-105.

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