Limit order books and liquidity around scheduled and non-scheduled announcements: Empirical evidence from NASDAQ Nordic

- We examine how limit order books react on scheduled and non-scheduled announcements.
- Order book liquidity is low an hour before the release of scheduled announcements.
- Scheduled announcements clearly improve order book liquidity at multiple levels.
- Order book asymmetry is high after the release of non-scheduled announcements.
- Conventional bid-ask spread does not sufficiently reflect order book liquidity.

Information arrivals may drive investors to require immediacy, generating sudden liquidity demand across multiple price levels in limit order books. We document significant intraday changes in stock limit order book characteristics and liquidity beyond the best levels around scheduled and non-scheduled company announcements. At aggregated level, liquidity beyond the best levels behaves quite differently from the bid-ask spread around scheduled announcements. Moreover, scheduled announcements improve multi-level liquidity to an exceptionally good level. We also provide evidence for pre-reactions in order books before non-scheduled announcements, which suggest the possibility of information leakage.