Limit Order Books and Liquidity around Scheduled and Non-Scheduled Announcements: Empirical Evidence from NASDAQ Nordic
Siikanen, Milla; Kanniainen, Juho; Valli, Jaakko (2017)
Siikanen, Milla
Kanniainen, Juho
Valli, Jaakko
2017
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:tty-201802211300
https://urn.fi/URN:NBN:fi:tty-201802211300
Kuvaus
Peer reviewed
Tiivistelmä
Information arrivals may drive investors to require immediacy, generating sudden liquidity demand across multiple price levels in limit order books. We document significant intraday changes in stock limit order book characteristics and liquidity beyond the best levels around scheduled and non- scheduled company announcements. At aggregated level, liquidity beyond the best levels behaves quite differently from the bid–ask spread around scheduled announcements. Moreover, scheduled announcements improve multi-level liquidity to an exceptionally good level. We also provide evidence for pre-reactions in order books before non-scheduled announcements, which suggest the possibility of information leakage.
Kokoelmat
- TUNICRIS-julkaisut [16951]