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

Kris Boudt and Mikael Petitjean

No 2591, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2014-01-01
Note: In : Journal of Financial Markets, 17, 121-149, 2014
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Journal Article: 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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