The effects of intraday news flow on dealers' quotations, market liquidity, and volatility

Arzé Karam

International Journal of Finance & Economics, 2018, vol. 23, issue 4, 492-503

Abstract: Market regulators emphasize that the reduction in dealers' liquidity to today's markets is one of the drivers of extreme behaviour such as flash crash. Yet the challenge is to understand the effects of intraday news flow on dealers' quoting behaviour, high‐frequency returns, price volatility, liquidity, and trading activity. This paper addresses these issues shortly before the analyst recommendation changes on the Nasdaq. The sample period is 2004 at times where dealers were frequently displaying their quotations on the system. Results show that dealers remain active in quoting, in particular, in the events when the report is issued by their affiliated analysts. Their activity is associated with lower inside spreads, more trading, a more two‐sided market, and lower order imbalance.

Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1002/ijfe.1634

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:23:y:2018:i:4:p:492-503

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().