Intraday Market Dynamics Around Public Information Arrivals
46 Pages Posted: 2 Mar 2002
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: Suggested Citation
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