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

Milla Siikanen, Juho Kanniainen, Arto Luoma

    Research output: Contribution to journalArticleScientificpeer-review

    7 Citations (Scopus)
    12 Downloads (Pure)

    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 languageEnglish
    Pages (from-to)65-68
    JournalEconomics Letters
    Volume159
    DOIs
    Publication statusPublished - 2017
    Publication typeA1 Journal article-refereed

    Keywords

    • Company announcement
    • High-frequency data
    • Limit order book
    • Liquidity

    Publication forum classification

    • Publication forum level 1

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