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What drives the sensitivity of limit order books to company announcement arrivals?

Research output: Contribution to journalArticleScientificpeer-review

Details

Original languageEnglish
Pages (from-to)65-68
JournalEconomics Letters
Volume159
Early online date20 Jul 2017
DOIs
Publication statusPublished - 1 Oct 2017
Publication typeA1 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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