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

Milla Siikanen, Juho Kanniainen and Arto Luoma

Economics Letters, 2017, vol. 159, issue C, 65-68

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.

Keywords: Limit order book; Liquidity; Company announcement; High-frequency data (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:159:y:2017:i:c:p:65-68

DOI: 10.1016/j.econlet.2017.07.018

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