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.
| Original language | English |
|---|---|
| Pages (from-to) | 65-68 |
| Journal | Economics Letters |
| Volume | 159 |
| DOIs | |
| Publication status | Published - 2017 |
| Publication type | A1 Journal article-refereed |
Keywords
- Company announcement
- High-frequency data
- Limit order book
- Liquidity
Publication forum classification
- Publication forum level 1