Non-fundamental Information and Market-makers' Behavior during the NASDAQ Preopening Session
Laurence Daures (formerly Lescourret)
Post-Print from HAL
This paper examines whether NASDAQ dealers' preopening quotes might be related to non-fundamental information, that is, information about transient trading pressure unrelated to fundamentals. Preopening quotes posted by wholesalers (dealers specialized in market-making and thus presumably more exposed to inventory risks) are strongly related to opening price reversals, a measure of transitory price pressure. Wholesalers are more likely to post preopening quotes on days characterized by large liquidity shocks or days following larger order imbalances, but not on days of strong informational asymmetry about fundamentals (days of analyst recommendation releases, earnings announcements or merger announcements). These patterns do not hold for other intermediaries, namely institutional brokers providing sell-side coverage. I also nd that daily order imbalances (another trading pressure measure) are strongly related to the preopening activity of wholesalers but not to any other groups of market-makers with more diversi ed banking activities. Overall, I interpret this as evidence that non-fundamental information matters during the preopening session and impacts intermediaries' preopening behavior.
Keywords: Market Microstructure; Preopen; NASDAQ; Non-fundamental Information; Price Reversals; Order Imbalances (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mst
Note: View the original document on HAL open archive server: https://essec.hal.science/hal-00772798
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Published in 2012, pp.42
Downloads: (external link)
Working Paper: Non-Fundamental Information and Market-Makers' Behavior during the NASDAQ Preopening Session (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00772798
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().