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Intraday Market Dynamics Around Public Information Arrivals

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  • Angelo Ranaldo

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.

Suggested Citation

  • Angelo Ranaldo, 2006. "Intraday Market Dynamics Around Public Information Arrivals," Working Papers 2006-11, Swiss National Bank.
    • Handle: RePEc:snb:snbwpa:2006-11
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    File URL: https://www.snb.ch/en/publications/research/working-papers/2006/working_paper_2006_11
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    References listed on IDEAS

    as
    1. de Jong, F.C.J.M. & Nijman, T.E. & Röell, A.A., 1996. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Other publications TiSEM 08f5fa19-14b7-4bc8-ba07-1, Tilburg University, School of Economics and Management.
    2. John Affleck‐Graves & Carolyn M. Callahan & Niranjan Chipalkatti, 2002. "Earnings Predictability, Information Asymmetry, and Market Liquidity," Journal of Accounting Research, Wiley Blackwell, vol. 40(3), pages 561-583, June.
    3. de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1996. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 193-213, June.
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    Citations

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    Cited by:

    1. Geoff Willis, 2011. "Why Money Trickles Up - Wealth & Income Distributions," Papers 1105.2122, arXiv.org, revised May 2011.
    2. Erenburg, Grigori & Lasser, Dennis, 2009. "Electronic limit order book and order submission choice around macroeconomic news," Review of Financial Economics, Elsevier, vol. 18(4), pages 172-182, October.
    3. Andreas Storkenmaier & Martin Wagener & Christof Weinhardt, 2012. "Public information in fragmented markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 179-215, June.
    4. Manuel Ammann & Stephan Markus Kessler, 2009. "Intraday characteristics of stock price crashes," Applied Financial Economics, Taylor & Francis Journals, vol. 19(15), pages 1239-1255.

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    More about this item

    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;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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