Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis

Walid Ben Omrane, Yusi Tao and Robert Welch

Research in International Business and Finance, 2017, vol. 42, issue C, 9-30

Abstract: Characteristics of a complete limit order book (LOB) for Euro/US dollar in 2006-09, are asymmetrically affected by scheduled macro news announcements during the financial crisis. Depth is the most responsive characteristic followed by spread, volatility and slope. Depth and volatility respond more to expansion surprises, while spread and slope are more sensitive to recession. The effect of the announcement’s occurrence without surprise is overwhelmingly positive (negative) for depth and volatility (spread) in both regimes. This effect is mitigated by the surprise. More than half of US scheduled news surprises have state dependent depth coefficients, most with opposing signs between recession and expansion. Using all quote levels generates stronger characteristic response, indicating the existence of information outside of the best quotes.

Keywords: Macroeconomic news; Limit order book; Foreign exchange market; Vector autoregressive (search for similar items in EconPapers)
JEL-codes: C30 F31 G15 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:42:y:2017:i:c:p:9-30

DOI: 10.1016/j.ribaf.2017.05.003

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