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Electronic limit order book and order submission choice around macroeconomic news
Author(s) -
Erenburg Grigori,
Lasser Dennis
Publication year - 2009
Publication title -
review of financial economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.347
H-Index - 41
eISSN - 1873-5924
pISSN - 1058-3300
DOI - 10.1016/j.rfe.2009.06.001
Subject(s) - equity (law) , order (exchange) , economics , limit (mathematics) , monetary economics , quality (philosophy) , financial economics , business , mathematics , finance , political science , physics , law , mathematical analysis , quantum mechanics
We investigate the dynamics of the displayed part of the Island ECN limit order book for the equity‐index‐linked securities market around macroeconomic news releases. Our results indicate that the quality of the electronic market, measured by spread and depth, deteriorates during the releases. Furthermore, they show that traders appear to switch to more aggressive strategies as early as 3 min before an announcement and are most aggressive within the first minute after the announcement. Also, there is a noticeable difference in the response of the limit order book to the macroeconomic news during pre‐market hours relative to regular trading hours.