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Price dynamics and market liquidity: An intraday event study on Euronext

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  • Mazza, Paolo
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    In this paper, we determine whether intraday price dynamics observed on Euronext help characterize market liquidity in real time. We generate 15-min price movement configurations based on high-low-open-close (HLOC) patterns and measure liquidity in terms of spread, depth, order imbalance, dispersion and slope. We also consider trading activity and volatility measures. Based on an event study methodology, we find that particular HLOC configurations are associated with higher liquidity in the limit order book. Although these effects are short-lived, market participants could benefit from temporary higher liquidity by executing their trades when these price configurations occur.

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    File URL: http://www.sciencedirect.com/science/article/pii/S1062976914000714
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 56 (2015)
    Issue (Month): C ()
    Pages: 139-153

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    Handle: RePEc:eee:quaeco:v:56:y:2015:i:c:p:139-153
    DOI: 10.1016/j.qref.2014.09.003
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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