Limit order books and liquidity around scheduled and non-scheduled announcements : empirical evidence from NASDAQ Nordic
Year of publication: |
May 2017
|
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Authors: | Siikanen, Milla ; Kanniainen, Juho ; Valli, Jaakko |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 21.2017, p. 264-271
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Subject: | Limit order book | Liquidity | Company announcement | High-frequency data | Ankündigungseffekt | Announcement effect | Wertpapierhandel | Securities trading | Börsenkurs | Share price | Liquidität | Geld-Brief-Spanne | Bid-ask spread | Börse | Bourse |
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