The effects of intraday news flow on Dealers' Quotations, Market Liquidity, and Volatility

Karam, A.

doi:10.1002/ijfe.1634

The effects of intraday news flow on Dealers' Quotations, Market Liquidity, and Volatility

Karam, A.

Authors

Dr Arze Karam arze.karam@durham.ac.uk
Assistant Professor

Abstract

Market regulators emphasize that the reduction in dealers' liquidity to today's markets is one of the drivers of extreme behaviour such as flash crash. Yet the challenge is to understand the effects of intraday news flow on dealers' quoting behaviour, high‐frequency returns, price volatility, liquidity, and trading activity. This paper addresses these issues shortly before the analyst recommendation changes on the Nasdaq. The sample period is 2004 at times where dealers were frequently displaying their quotations on the system. Results show that dealers remain active in quoting, in particular, in the events when the report is issued by their affiliated analysts. Their activity is associated with lower inside spreads, more trading, a more two‐sided market, and lower order imbalance.

Citation

Karam, A. (2018). The effects of intraday news flow on Dealers' Quotations, Market Liquidity, and Volatility. International Journal of Finance and Economics, 23(4), 492-503. https://doi.org/10.1002/ijfe.1634

Journal Article Type	Article
Acceptance Date	Jun 20, 2018
Online Publication Date	Jul 25, 2018
Publication Date	Oct 31, 2018
Deposit Date	Jun 22, 2018
Publicly Available Date	Jul 25, 2020
Journal	International Journal of Finance and Economics
Print ISSN	1076-9307
Electronic ISSN	1099-1158
Publisher	Wiley
Peer Reviewed	Peer Reviewed
Volume	23
Issue	4
Pages	492-503
DOI	https://doi.org/10.1002/ijfe.1634
Public URL	https://durham-repository.worktribe.com/output/1328304

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Copyright Statement
This is the accepted version of the following article: Karam, A. (2018). The effects of intraday news flow on Dealers' Quotations, Market Liquidity, and Volatility. International Journal of Finance & Economics 23(4): 492-503, which has been published in final form at https://doi.org/10.1002/ijfe.1634. This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.