کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
980370 1480444 2015 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Price dynamics and market liquidity: An intraday event study on Euronext
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Price dynamics and market liquidity: An intraday event study on Euronext
چکیده انگلیسی


• We look at the information content of HLOC prices for intraday liquidity.
• We use consensus configurations that we relate to liquidity through an event study.
• We find that liquidity is higher when a consensus occurs.
• We use 15-min, 30-min and 60-min intervals with Euronext market data.
• We provide causality tests and check for the presence of information-based trading.

In this paper, we determine whether intraday price dynamics observed on Euronext help characterize market liquidity in real time. We generate 15-min price movement configurations based on high-low-open-close (HLOC) patterns and measure liquidity in terms of spread, depth, order imbalance, dispersion and slope. We also consider trading activity and volatility measures. Based on an event study methodology, we find that particular HLOC configurations are associated with higher liquidity in the limit order book. Although these effects are short-lived, market participants could benefit from temporary higher liquidity by executing their trades when these price configurations occur.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 56, May 2015, Pages 139–153
نویسندگان
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