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

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What drives the sensitivity of limit order books to company announcement arrivals? / Siikanen, Milla; Kanniainen, Juho; Luoma, Arto .

julkaisussa: Economics Letters, Vuosikerta 159, 01.10.2017, s. 65-68.

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Siikanen, Milla ; Kanniainen, Juho ; Luoma, Arto . / What drives the sensitivity of limit order books to company announcement arrivals?. Julkaisussa: Economics Letters. 2017 ; Vuosikerta 159. Sivut 65-68.

Bibtex - Lataa

@article{d881409fdab042b2b510767dfa42c9bd,
title = "What drives the sensitivity of limit order books to company announcement arrivals?",
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.",
author = "Milla Siikanen and Juho Kanniainen and Arto Luoma",
year = "2017",
month = "10",
day = "1",
doi = "10.1016/j.econlet.2017.07.018",
language = "English",
volume = "159",
pages = "65--68",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",

}

RIS (suitable for import to EndNote) - Lataa

TY - JOUR

T1 - What drives the sensitivity of limit order books to company announcement arrivals?

AU - Siikanen, Milla

AU - Kanniainen, Juho

AU - Luoma, Arto

PY - 2017/10/1

Y1 - 2017/10/1

N2 - 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.

AB - 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.

U2 - 10.1016/j.econlet.2017.07.018

DO - 10.1016/j.econlet.2017.07.018

M3 - Article

VL - 159

SP - 65

EP - 68

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

ER -