UM
Affiliated with RCfalse
Status即將出版Forthcoming
Liquidity shocks and intraday price reaction
Tao Chen
2022-12
Source PublicationJournal of Financial Research
ABS Journal Level3
Abstract

Using a global sample of high-frequency data, this study investigates how liquidity shocks affect intraday price movements. We find a negative association between liquidity shocks and price impact. This finding remains robust after considering the exogeneity of liquidity shocks, using alternative windows to measure liquidity shocks, and controlling for volume shocks and volatility shocks. Additional tests show that the documented relationship stems from idiosyncratic shocks and sell-order shocks. Moreover, we reveal that liquidity shocks are likely to be driven by uninformed traders. Eventually, our evidence suggests that the market requires 30 minutes to accomplish price adjustments when meeting liquidity shocks.

KeywordLiquidity Shocks Price Impact Uninformed Traders Intraday Market Efficiency
Indexed BySSCI
PublisherWiley
Document TypeJournal article
CollectionUniversity of Macau
Faculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorTao Chen
AffiliationUniversity of Macau
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Tao Chen. Liquidity shocks and intraday price reaction[J]. Journal of Financial Research,2022.
APA Tao Chen.(2022).Liquidity shocks and intraday price reaction.Journal of Financial Research.
MLA Tao Chen."Liquidity shocks and intraday price reaction".Journal of Financial Research (2022).
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Tao Chen]'s Articles
Baidu academic
Similar articles in Baidu academic
[Tao Chen]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Tao Chen]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.