What drives the sensitivity of limit order books to company announcement arrivals?
Research output: Contribution to journal › Article › Scientific › peer-review
|Early online date||20 Jul 2017|
|Publication status||Published - 1 Oct 2017|
|Publication type||A1 Journal article-refereed|
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.