Intraday Market Dynamics Around Public Information Arrivals
37 Pages Posted: 4 Dec 2003
Date Written: September 2003
I analyze the impact of the arrival of public information on the intraday trading of highly liquid stocks quoted on the Paris Bourse. Using the Reuters alert system, I gather a large sample of firm-specific news and analyze market behavior around news releases. I estimate the transaction cost components around public information releases. I find that there is a disclosure impact on both trading and order flow. I also find that trading around news releases is characterized by relatively small adverse selection and order processing costs, and high order persistence.
Keywords: Firm-specific news, public information arrivals, market microstructure, transaction cost components, price formation model, high frequency data, Paris Bourse
JEL Classification: C35, G13, G14, G15
Suggested Citation: Suggested Citation