Unscheduled News and Market Dynamics
| Autor: | Jérôme Dugast |
|---|---|
| Přispěvatelé: | Dauphine Recherches en Management (DRM), Université Paris Dauphine-PSL, Université Paris sciences et lettres (PSL)-Université Paris sciences et lettres (PSL)-Centre National de la Recherche Scientifique (CNRS) |
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
050208 finance
Financial economics 05 social sciences JEL: L - Industrial Organization/L.L1 - Market Structure Firm Strategy and Market Performance/L.L1.L14 - Transactional Relationships • Contracts and Reputation • Networks Monetary economics Market dynamics Covariance stocks Market liquidity Market depth Order (exchange) 0502 economics and business Order book Economics Volatility smile JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial Markets [SHS.GESTION]Humanities and Social Sciences/Business administration financial markets order Volatility (finance) trade 050205 econometrics |
| Zdroj: | The Journal of Finance The Journal of Finance, 2018, 73 (6), ⟨10.1111/jofi.12717⟩ |
| DOI: | 10.1111/jofi.12717⟩ |
| Popis: | Upon unscheduled news arrivals, investors react with a stochastic delay and possibly take advantage of new information. In this context, I study the equilibrium dynamics of limit order markets. Idiosyncratic liquidity shocks occur continuously while news arrives at a random time. Competition for accommodating next instant liquidity needs pushes the bid-ask spread down to the tick. Following news, order flows become imbalanced and market depth is consumed, yielding positive correlations between price volatility, trading volume and order flow imbalances. Holding expected price volatility constant, the news arrival frequency negatively impacts the market depth and the trading volume/volatility covariance. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|