Intraday Market Dynamics Around Public Information Arrivals

46 Pages Posted: 2 Mar 2002

See all articles by Angelo Ranaldo

Angelo Ranaldo

University of St. Gallen; Swiss Finance Institute

Date Written: June 2005

Abstract

I analyze the price discovery, liquidity provision, and transaction-cost components driven by the real-time firm-specific news at the Paris Bourse. I find that traders actively monitor and promptly react to the real-time information flow. The news impact depends on which type of news bulletin is released. Only earnings announcements and news items causing extreme price disruptions enlarge spreads and information asymmetry risk. In contrast, the greater part of real-time firm-specific news releases is a magnet for liquidity and trading. This research provides insights into the market quality of limit-order book markets that are able to provide additional liquidity during information events.

Keywords: arrival of public information, intraday trading, transaction cost components, order flow, disclosure impact

JEL Classification: G13, G14, G15

Suggested Citation

Ranaldo, Angelo, Intraday Market Dynamics Around Public Information Arrivals (June 2005). EFMA 2002 London Meeting, Forthcoming, Available at SSRN: https://ssrn.com/abstract=301823 or http://dx.doi.org/10.2139/ssrn.301823

Angelo Ranaldo (Contact Author)

University of St. Gallen ( email )

School of Finance
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St. Gallen, 9000
Switzerland
+41712247010 (Phone)

HOME PAGE: http://fin-sr.unisg.ch

Swiss Finance Institute ( email )

c/o University of Geneva
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CH-1211 Geneva 4
Switzerland
+41796637711 (Phone)

HOME PAGE: http://www.sfi.ch/de/about-us/news/hsg-faculty-members

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