What drives the sensitivity of limit order books to company announcement arrivals?
Research output: Contribution to journal › Article › Scientific › peer-review
Details
| Original language | English |
|---|---|
| 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.