High-Frequency Tweeting and Market Making after Hours
31 Pages Posted: 10 Sep 2021 Last revised: 2 May 2022
Date Written: September 7, 2021
This paper analyzes differences between the regular and extended trading sessions in the high-frequency reaction of equity markets to potential news. Using presidential tweets as unanticipated but potentially market-stirring events, I find that volatility increases and liquidity deteriorates within fractions of a second. Compared to the regular trading session, the reduction in market quality is much stronger and faster during the extended trading hours, when liquidity is lower and designated market maker participation is optional.
Keywords: After hours trading, Market Making, High-frequency trading , Liquidity, Twitter
JEL Classification: G10, G12, G14, G23
Suggested Citation: Suggested Citation