Template-type: ReDIF-Paper 1.0
Author-Name: Angelo Ranaldo
Author-Name-First: Angelo
Author-Name-Last: Ranaldo
Author-Person: pra161
Title: Intraday Market Dynamics Around Public Information Arrivals
Abstract: I analyze the price discovery, liquidity provision, and transaction-cost components driven by the real-time firm-specific news at the Paris Bourse. I find that the news impact depends on which type of news bulletin is released. Only news items causing extreme price disruptions such as earnings announcements enlarge spreads and information asymmetry risk. In contrast, the greater part of real-time firm-specific news releases is a magnet for liquidity and trading. This research provides insights into the market quality of limit-order book markets in which liquidity provision dynamically adapts to market conditions and information events. Limit order traders sustain liquidity even when facing extreme news impacts.
Length: 50 pages
Creation-Date: 2006
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2006/working_paper_2006_11
File-Format: text/html
Number: 2006-11
Classification-JEL: G10, G14
Keywords: real-time information, firm-specific news, price discovery, liquidity provision, transaction-cost components, information asymmetry, limit-order book market, earnings announcements, price disruption, high-frequency data
Handle: RePEc:snb:snbwpa:2006-11