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Market Dynamics Around Public Information Arrivals

This paper deals with the impact of the arrival of public information on the intraday trading of highly liquid stocks quoted on the Paris Bourse.
Year of publication:
2002-02-01
Authors: Ronaldo, Angelo
Publisher: International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject: Transaktionskosten | Kapitalmarkteffizienz | Informationseffizienz | Kapitalmarkttheorie | Marktinformation | private information trading | Preistheorie | Preismodell | price structure
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  • 1. Introduction
  • 2. Dataset and Market Microstructure
  • 3. Literature on news releases
  • 4. Order flow around news arrivals
  • 5. Price formation models and cost components estimation
  • 6. Empirical findings on transaction costs
Persistent link: https://www.econbiz.de/10005843308
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