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Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks

  • Boudt, Kris
  • Petitjean, Mikael
Registered author(s):

    We study the dynamics of liquidity and news releases around jumps by identifying their intraday timing for the Dow Jones Industrial Average index constituents. Jumps are found to coincide with a significant increase in trading costs and demand for immediacy, amplified by the release of news. Liquidity supply remains nevertheless high and there is strong evidence of resilience. Liquidity shocks in the effective spread and the number of trades are the key drivers behind the occurrence of a jump. Order imbalance appears to be the most informative liquidity variable with respect to price discovery, especially after the arrival of news.

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    File URL: http://www.sciencedirect.com/science/article/pii/S1386418113000177
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    Article provided by Elsevier in its journal Journal of Financial Markets.

    Volume (Year): 17 (2014)
    Issue (Month): C ()
    Pages: 121-149

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    Handle: RePEc:eee:finmar:v:17:y:2014:i:c:p:121-149
    Contact details of provider: Web page: http://www.elsevier.com/locate/finmar

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