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Electronic limit order book and order submission choice around macroeconomic news

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  • Grigori Erenburg
  • Dennis Lasser

Abstract

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 3 min 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.

Suggested Citation

  • Grigori Erenburg & Dennis Lasser, 2009. "Electronic limit order book and order submission choice around macroeconomic news," Review of Financial Economics, John Wiley & Sons, vol. 18(4), pages 172-182, October.
    • Handle: RePEc:wly:revfec:v:18:y:2009:i:4:p:172-182
    DOI: 10.1016/j.rfe.2009.06.001
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    References listed on IDEAS

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