Liquidity Dynamics Around Jumps: The Evidence from the Warsaw Stock Exchange

Barbara Będowska-Sójka

Abstract

The aim of our study is to examine the dynamics of trading volume and the number of trades around jumps detected in intraday stock returns. We detect jumps in equally spaced 10-minute returns for most liquid stocks quoted on the Warsaw Stock Exchange within one-year sample period. We match jumps with macroeconomic and firm specific news. We find that only the minority of jumps is associated with public information releases, whereas the majority of them is motivated by liquidity shocks observed in the spreads, volume, and the number of trades. Our findings show that jumps are related to the inability of the market to absorb new and big orders. Liquidity shocks in volatility, volume, and quoted spread are the key drivers accompanying the occurrence of the jumps. Finally, the introduction of a faster and more efficient trading system improves the liquidity by increasing the depth of the market.
Author Barbara Będowska-Sójka (WIiGE / KE)
Barbara Będowska-Sójka,,
- Department of Econometrics
Journal seriesEmerging Markets Finance and Trade, ISSN 1540-496X, (A 25 pkt)
Issue year2016
Vol52
No12
Pages2740-2755
Publication size in sheets0.75
Keywords in EnglishIntraday data, jumps, liquidity variables, news
ASJC Classification2000 General Economics, Econometrics and Finance; 2003 Finance
DOIDOI:10.1080/1540496X.2016.1216937
URL https://doi.org/10.1080/1540496X.2016.1216937
Languageen angielski
Score (nominal)25
Score sourcejournalList
ScoreMinisterial score = 20.0, 23-12-2019, ArticleFromJournal
Ministerial score (2013-2016) = 25.0, 23-12-2019, ArticleFromJournal
Publication indicators WoS Citations = 4; Scopus SNIP (Source Normalised Impact per Paper): 2016 = 0.811; WoS Impact Factor: 2016 = 0.826 (2) - 2016=0.951 (5)
Citation count*13 (2020-06-26)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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