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

Author

Listed:
  • Paolo Mazza

    (LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - ULCO - Université du Littoral Côte d'Opale - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

Abstract

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.

Suggested Citation

  • Paolo Mazza, 2015. "Price dynamics and market liquidity: An intraday event study on Euronext," Post-Print hal-01563014, HAL.
    • Handle: RePEc:hal:journl:hal-01563014
    DOI: 10.1016/j.qref.2014.09.003
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    Cited by:

    1. Barbara Będowska-Sójka, 2021. "Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange," Annals of Operations Research, Springer, vol. 297(1), pages 37-51, February.
    2. Będowska-Sójka, Barbara & Kliber, Agata, 2021. "Information content of liquidity and volatility measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 563(C).
    3. Gang Chu & Xiao Li & Dehua Shen & Yongjie Zhang, 2021. "Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(3), pages 397-427, September.
    4. Prusak Błażej & Potrykus Marcin, 2022. "Stock price reaction to an arrangement approval in restructuring proceedings – the case of Poland," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 58(3), pages 279-298, September.
    5. V.K., Anand Krishnan & Chalissery, Meera Davi & Thomas, Sony, 2024. "A bibliometric review of Market Microstructure literature: Current status, development, and future directions," Finance Research Letters, Elsevier, vol. 69(PA).
    6. Będowska-Sójka, Barbara, 2020. "Do aggressive orders affect liquidity? An evidence from an emerging market," Research in International Business and Finance, Elsevier, vol. 54(C).
    7. Zhifeng Dai & Haoyang Zhu & Xiaoming Chang & Fenghua Wen, 2025. "Forecasting stock returns: the role of VIX-based upper and lower shadow of Japanese candlestick," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-35, December.
    8. Paolo Mazza & Mikael Petitjean, 2019. "Testing the effect of technical analysis on market quality and order book dynamics," Applied Economics, Taylor & Francis Journals, vol. 51(18), pages 1947-1976, April.

    More about this item

    Keywords

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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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