Intraday Market Dynamics Around Public Information Arrivals
AbstractI 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 InfoIf you experience problems downloading a file, check if you have the proper application to view it first. 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.
Bibliographic InfoPaper provided by Swiss National Bank in its series Working Papers with number 2006-11.
Length: 50 pages
Date of creation: 2006
Date of revision:
Contact details of provider:
Postal: Börsenstrasse 15, P. O. Box, CH - 8022 Zürich
Phone: +41 44 631 31 11
Fax: +41 44 631 39 11
Web page: http://www.snb.ch/en/ifor/research/
More information through EDIRC
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;
Find related papers by 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
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Geoff Willis, 2011.
"Why Money Trickles Up - Wealth & Income Distributions,"
1105.2122, arXiv.org, revised May 2011.
- Willis, Geoff, 2011. "Why money trickles up – wealth & income distributions," MPRA Paper 30851, University Library of Munich, Germany.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Enzo Rossi).
If references are entirely missing, you can add them using this form.