Unscheduled News and Market Dynamics
Dugast, Jérôme (2018), Unscheduled News and Market Dynamics, The Journal of Finance, 73, 6, p. 2537-2586. 10.1111/jofi.12717
TypeArticle accepté pour publication ou publié
Journal nameThe Journal of Finance
MetadataShow full item record
Dauphine Recherches en Management [DRM]
Abstract (EN)When unscheduled news arrives, investors react with a stochastic delay yet still may exploit new information. In this context, I study the equilibrium dynamics of limit order markets. Continuous idiosyncratic liquidity shocks result in trades on both sides of the order book. News therefore arrives at random times. Following news, order flows become unbalanced and market depth is consumed, leading to positive covariance between price variability, trading volume, and order book unbalances. Holding the unconditional price variability constant, news frequency has a negative effect on both market depth and the variability‐volume covariance.
Subjects / Keywordsfinancial markets; stocks; order; trade
Showing items related by title and author.