Price dynamics and market liquidity: An intraday event study on Euronext

Paolo Mazza ()

Post-Print from HAL

Abstract: In this paper, we determine whether intraday price dynamics observed on Euronext help characterize market liquidity in real time. We generate 15-min price movement configurations based on high-low-open-close (HLOC) patterns and measure liquidity in terms of spread, depth, order imbalance, dispersion and slope. We also consider trading activity and volatility measures. Based on an event study methodology, we find that particular HLOC configurations are associated with higher liquidity in the limit order book. Although these effects are short-lived, market participants could benefit from temporary higher liquidity by executing their trades when these price configurations occur.

Keywords: Liquidity; Limit order market; Informed trading; Market microstructure; HLOC dynamics (search for similar items in EconPapers)
Date: 2015-05
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Published in Quarterly Review of Economics and Finance, 2015, 56, pp.139--153. ⟨10.1016/j.qref.2014.09.003⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Price dynamics and market liquidity: An intraday event study on Euronext (2015)
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:hal:journl:hal-01563014

DOI: 10.1016/j.qref.2014.09.003

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().