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

Scharnowski, Stefan, High-Frequency Tweeting and Market Making after Hours (September 7, 2021). Available at SSRN: https://ssrn.com/abstract=3863943 or http://dx.doi.org/10.2139/ssrn.3863943

Stefan Scharnowski (Contact Author)

University of Mannheim ( email )

Mannheim, 68161

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