Limit order books and liquidity around scheduled and non-scheduled announcements: Empirical evidence from NASDAQ Nordic

Milla Siikanen, Juho Kanniainen and Jaakko Valli

Finance Research Letters, 2017, vol. 21, issue C, 264-271

Abstract: Information arrivals may drive investors to require immediacy, generating sudden liquidity demand across multiple price levels in limit order books. We document significant intraday changes in stock limit order book characteristics and liquidity beyond the best levels around scheduled and non-scheduled company announcements. At aggregated level, liquidity beyond the best levels behaves quite differently from the bid–ask spread around scheduled announcements. Moreover, scheduled announcements improve multi-level liquidity to an exceptionally good level. We also provide evidence for pre-reactions in order books before non-scheduled announcements, which suggest the possibility of information leakage.

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 (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:21:y:2017:i:c:p:264-271

DOI: 10.1016/j.frl.2016.12.016

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