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.
|Publication status||Published - 2017|
|Publication type||A1 Journal article-refereed|
- Company announcement
- High-frequency data
- Limit order book
Publication forum classification
- Publication forum level 1