Abstrakti
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.
| Alkuperäiskieli | Englanti |
|---|---|
| Sivut | 65-68 |
| Julkaisu | Economics Letters |
| Vuosikerta | 159 |
| DOI - pysyväislinkit | |
| Tila | Julkaistu - 2017 |
| OKM-julkaisutyyppi | A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä |
Tutkimusalat
- Company announcement
- High-frequency data
- Limit order book
- Liquidity
Julkaisufoorumi-taso
- Jufo-taso 1