Public information arrival: Price discovery and liquidity in electronic limit order marketsCitation formats

Standard

Public information arrival: Price discovery and liquidity in electronic limit order markets. / Riordan, Ryan; Storkenmaier, Andreas; Wagener, Martin; Sarah Zhang, S.

In: Journal of Banking and Finance, Vol. 37, No. 4, 04.2013, p. 1148-1159.

Research output: Contribution to journalArticle

Harvard

Riordan, R, Storkenmaier, A, Wagener, M & Sarah Zhang, S 2013, 'Public information arrival: Price discovery and liquidity in electronic limit order markets' Journal of Banking and Finance, vol. 37, no. 4, pp. 1148-1159. https://doi.org/10.1016/j.jbankfin.2012.11.008

APA

Vancouver

Author

Riordan, Ryan ; Storkenmaier, Andreas ; Wagener, Martin ; Sarah Zhang, S. / Public information arrival: Price discovery and liquidity in electronic limit order markets. In: Journal of Banking and Finance. 2013 ; Vol. 37, No. 4. pp. 1148-1159.

Bibtex

@article{59f7f074b8bd4afeb349aafc5996439a,
title = "Public information arrival: Price discovery and liquidity in electronic limit order markets",
abstract = "How information is translated into market prices is still an open question. This paper studies the impact of newswire messages on intraday price discovery, liquidity, and trading intensity in an electronic limit order market. We take an objective ex ante measure of the tone of a message to study the impacts of positive, negative, and neutral messages on price discovery and trading activity. As expected, we find higher adverse selection costs around the arrival of newswire messages. Negative messages are associated with higher adverse selection costs than positive or neutral messages. Liquidity increases around positive and neutral messages and decreases around negative messages. Available order book depth as well as the trading intensity increases around all news. Our results suggest that market participants possess different information gathering and processing capabilities and that negative news messages are particularly informative and induce stronger market reactions. {\circledC} 2012 Elsevier B.V.",
keywords = "G10, G14, Information, Limit order markets, Liquidity, News, Price discovery",
author = "Ryan Riordan and Andreas Storkenmaier and Martin Wagener and {Sarah Zhang}, S.",
year = "2013",
month = "4",
doi = "10.1016/j.jbankfin.2012.11.008",
language = "English",
volume = "37",
pages = "1148--1159",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier BV",
number = "4",

}

RIS

TY - JOUR

T1 - Public information arrival: Price discovery and liquidity in electronic limit order markets

AU - Riordan, Ryan

AU - Storkenmaier, Andreas

AU - Wagener, Martin

AU - Sarah Zhang, S.

PY - 2013/4

Y1 - 2013/4

N2 - How information is translated into market prices is still an open question. This paper studies the impact of newswire messages on intraday price discovery, liquidity, and trading intensity in an electronic limit order market. We take an objective ex ante measure of the tone of a message to study the impacts of positive, negative, and neutral messages on price discovery and trading activity. As expected, we find higher adverse selection costs around the arrival of newswire messages. Negative messages are associated with higher adverse selection costs than positive or neutral messages. Liquidity increases around positive and neutral messages and decreases around negative messages. Available order book depth as well as the trading intensity increases around all news. Our results suggest that market participants possess different information gathering and processing capabilities and that negative news messages are particularly informative and induce stronger market reactions. © 2012 Elsevier B.V.

AB - How information is translated into market prices is still an open question. This paper studies the impact of newswire messages on intraday price discovery, liquidity, and trading intensity in an electronic limit order market. We take an objective ex ante measure of the tone of a message to study the impacts of positive, negative, and neutral messages on price discovery and trading activity. As expected, we find higher adverse selection costs around the arrival of newswire messages. Negative messages are associated with higher adverse selection costs than positive or neutral messages. Liquidity increases around positive and neutral messages and decreases around negative messages. Available order book depth as well as the trading intensity increases around all news. Our results suggest that market participants possess different information gathering and processing capabilities and that negative news messages are particularly informative and induce stronger market reactions. © 2012 Elsevier B.V.

KW - G10

KW - G14

KW - Information

KW - Limit order markets

KW - Liquidity

KW - News

KW - Price discovery

U2 - 10.1016/j.jbankfin.2012.11.008

DO - 10.1016/j.jbankfin.2012.11.008

M3 - Article

VL - 37

SP - 1148

EP - 1159

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

IS - 4

ER -