TY - JOUR
T1 - Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
AU - Boudt, K.M.R.
AU - Petitjean, M.
PY - 2014
Y1 - 2014
N2 - We study the dynamics of liquidity and news releases around jumps by identifying their intraday timing for the Dow Jones Industrial Average index constituents. Jumps are found to coincide with a significant increase in trading costs and demand for immediacy, amplified by the release of news. Liquidity supply remains nevertheless high and there is strong evidence of resilience. Liquidity shocks in the effective spread and the number of trades are the key drivers behind the occurrence of a jump. Order imbalance appears to be the most informative liquidity variable with respect to price discovery, especially after the arrival of news. © 2013 Elsevier B.V.
AB - We study the dynamics of liquidity and news releases around jumps by identifying their intraday timing for the Dow Jones Industrial Average index constituents. Jumps are found to coincide with a significant increase in trading costs and demand for immediacy, amplified by the release of news. Liquidity supply remains nevertheless high and there is strong evidence of resilience. Liquidity shocks in the effective spread and the number of trades are the key drivers behind the occurrence of a jump. Order imbalance appears to be the most informative liquidity variable with respect to price discovery, especially after the arrival of news. © 2013 Elsevier B.V.
U2 - 10.1016/j.finmar.2013.05.004
DO - 10.1016/j.finmar.2013.05.004
M3 - Article
SN - 1386-4181
VL - 17
SP - 121
EP - 149
JO - Journal of Financial Markets
JF - Journal of Financial Markets
IS - January
ER -