Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks

Kris Boudt and Mikael Petitjean

Journal of Financial Markets, 2014, vol. 17, issue C, 121-149

Abstract: We study the dynamics of liquidity and news releases around jumps by identifying their intraday timing for the Dow Jones Industrial Average index constituents. Jumps are found to coincide with a significant increase in trading costs and demand for immediacy, amplified by the release of news. Liquidity supply remains nevertheless high and there is strong evidence of resilience. Liquidity shocks in the effective spread and the number of trades are the key drivers behind the occurrence of a jump. Order imbalance appears to be the most informative liquidity variable with respect to price discovery, especially after the arrival of news.

Keywords: High-frequency data; Liquidity; News; Price jumps; Volatility (search for similar items in EconPapers)
JEL-codes: C58 G14 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (49)

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Working Paper: Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks (2014)
Working Paper: Intraday liquidity dynamics and news releases around price jumps: evidence from the DJIA stocks (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:17:y:2014:i:c:p:121-149

DOI: 10.1016/j.finmar.2013.05.004

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