Electronic Limit Order Book and Order Submission Choice Around Macroeconomic News
37 Pages Posted: 12 Feb 2007 Last revised: 3 Jun 2009
Date Written: April 22, 2009
We investigate the dynamics of the displayed part of the Island ECN limit order book for the equity index-linked securities market around macroeconomic news releases. Our results indicate that the quality of the electronic market, measured by spread and depth, deteriorates during the releases. Furthermore, they show that traders appear to switch to more aggressive strategies as early as three minutes before an announcement and are most aggressive within the first minute after the announcement. Also, there is a noticeable difference in the response of the limit order book to the macroeconomic news during pre-market hours relative to regular trading hours.
Keywords: Macroeconomic announcements, Microstructure, Limit order book, Order aggressiveness
JEL Classification: D81, E44, G10, G14
Suggested Citation: Suggested Citation