I analyze the price discovery, liquidity provision, and transaction-cost components driven by the real-time firm-specific news at the Paris Bourse. I find that the news impact depends on which type of news bulletin is released. Only news items causing extreme price disruptions such as earnings announcements enlarge spreads and information asymmetry risk. In contrast, the greater part of real-time firm-specific news releases is a magnet for liquidity and trading. This research provides insights into the market quality of limit-order book markets in which liquidity provision dynamically adapts to market conditions and information events. Limit order traders sustain liquidity even when facing extreme news impacts.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Swiss National Bank in its series Working Papers with number
2006-11.
Length: 50 pages Date of creation: 05 May 2006 Date of revision: Handle: RePEc:ris:snbwpa:2006_011
Contact details of provider: Postal: B�rsenstrasse 15, P. O. Box, CH - 8022 Z�rich Phone: +41 44 631 31 11 Fax: +41 44 631 39 11 Email: Web page: http://www.snb.ch/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Enzo Rossi).