What drives the sensitivity of limit order books to company announcement arrivals?
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Details
Original language | English |
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Pages (from-to) | 65-68 |
Journal | Economics Letters |
Volume | 159 |
Early online date | 20 Jul 2017 |
DOIs | |
Publication status | Published - 1 Oct 2017 |
Publication type | A1 Journal article-refereed |
Abstract
We provide evidence that recent losses amplify order book illiquidity shocks caused by non-scheduled news. Moreover, the faster markets’ reaction to scheduled and non-scheduled news arrivals is in terms of order book illiquidity, the more illiquid the order book becomes; that is, a fast reaction is a strong reaction. Additionally, order book asymmetry observed before announcement arrivals is positively associated with the magnitude of illiquidity shocks.
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Field of science, Statistics Finland
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