Intraday Market Dynamics Around Public Information Arrivals

Abstract

I analyze the price discovery, liquidity provision, and transaction-cost components driven by the real-time firm-specific news at the Paris Bourse. I find that the news impact depends on which type of news bulletin is released. Only news items causing extreme price disruptions such as earnings announcements enlarge spreads and information asymmetry risk. In contrast, the greater part of real-time firm-specific news releases is a magnet for liquidity and trading. This research provides insights into the market quality of limit-order book markets in which liquidity provision dynamically adapts to market conditions and information events. Limit order traders sustain liquidity even when facing extreme news impacts.