Boudt, Kris; Petitjean, Mikael - In: Journal of Financial Markets 17 (2014) C, pp. 121-149
We study the dynamics of liquidity and news releases around jumps by identifying their intraday timing for the Dow Jones Industrial Average index constituents. Jumps are found to coincide with a significant increase in trading costs and demand for immediacy, amplified by the release of news....