What drives the sensitivity of limit order books to company announcement arrivals?
Siikanen, Milla; Kanniainen, Juho; Luoma, Arto (2017)
Siikanen, Milla
Kanniainen, Juho
Luoma, Arto
2017
Julkaisun pysyvä osoite on
https://urn.fi/urn:nbn:fi:tty-201802211301
https://urn.fi/urn:nbn:fi:tty-201802211301
Kuvaus
Peer reviewed
Tiivistelmä
We provide evidence that recent losses amplify order book illiquidity shocks caused by non-scheduled news. Moreover, the faster markets’ reaction to scheduled and non-scheduled news arrivals is in terms of order book illiquidity, the more illiquid the order book becomes: that is, a fast reaction is a strong reaction. Additionally, order book asymmetry observed before announcement arrivals is positively associated with the magnitude of illiquidity shocks.
Kokoelmat
- TUNICRIS-julkaisut [16929]