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About Thesis
This master's thesis examines how liquidity in a stock limit order book evolves around earnings announcements. The study uses high-frequency limit order book data from 75 liquid stocks traded on NASDAQ OMX Nordic exchanges between 2006-2009, along with accompanying earnings announcements. A liquidity measure representing overall limit order book liquidity is analyzed during 40-minute windows around announcements and compared to average liquidity in the prior 27 trading days. The study finds liquidity is low before announcements but peaks in illiquidity immediately after, returning to normal levels 20 minutes later. This suggests institutional investors supply pre-announcement liquidity while individuals cancel orders, and the post-announcement peak occurs as institutions execute against stale individual orders. The return to
Detailed Information
| Author: | ['Soumya Das'] |
|---|---|
| Publication Year: | 2019 |
| Pages: | 84 |
| Language: | English |
| Format: | |
| Price: | FREE |
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