Intraday Market Dynamics Around Public Information Arrivals

37 Pages Posted: 4 Dec 2003

See all articles by Angelo Ranaldo

Angelo Ranaldo

University of St. Gallen; University of St. Gallen - School of Finance

Date Written: September 2003

Abstract

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

Ranaldo, Angelo, Intraday Market Dynamics Around Public Information Arrivals (September 2003). AFA 2004 San Diego Meetings. Available at SSRN: https://ssrn.com/abstract=475524 or http://dx.doi.org/10.2139/ssrn.475524

Angelo Ranaldo (Contact Author)

University of St. Gallen ( email )

Swiss Institute of Banking and Finance s/bf-HSG
Unterer Graben 21
St. Gallen, 9000
Switzerland
+41712247010 (Phone)

HOME PAGE: http://www.sbf.unisg.ch/Lehrstuehle/Lehrstuhl_Ranaldo/Homepage_Ranaldo.aspx

University of St. Gallen - School of Finance ( email )

Unterer Graben 21
St.Gallen, CH-9000
Switzerland

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