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Intraday Market Dynamics Around Public Information Arrivals

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  • Angelo Ranaldo

Abstract

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.

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File URL: http://www.snb.ch/n/mmr/reference/working_paper_2006_11/source/working_paper_2006_11.n.pdf
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Bibliographic Info

Paper provided by Swiss National Bank in its series Working Papers with number 2006-11.

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Length: 50 pages
Date of creation: 2006
Date of revision:
Handle: RePEc:snb:snbwpa:2006-11

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Related research

Keywords: real-time information; firm-specific news; price discovery; liquidity provision; transaction-cost components; information asymmetry; limit-order book market; earnings announcements; price disruption; high-frequency data;

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Cited by:
  1. Geoff Willis, 2011. "Why Money Trickles Up - Wealth & Income Distributions," Papers 1105.2122, arXiv.org, revised May 2011.
  2. Erenburg, Grigori & Lasser, Dennis, 2009. "Electronic limit order book and order submission choice around macroeconomic news," Review of Financial Economics, Elsevier, Elsevier, vol. 18(4), pages 172-182, October.

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