We investigate the relationship between the daily release of COVID-19 related announcements, defensive government interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and iteratively improve on previous research findings. We...

While previous studies find little evidence of an increase in the placement of new orders before a market sensitive announcement, existing limit orders are revised significantly more often. In this study, we extend the research in three ways. First, we extend the range of announcements studied....

While it is widely acknowledged that companies face increasing cybersecurity risk stemming from hackers stealing customer information, a relatively unknown cybersecurity risk is from information leakage and subsequent trading by digital insiders – hackers who target corporations to obtain...

Government agencies routinely allow pre-release access to information to accredited news agencies under embargo agreements. Using high frequency data, we find evidence consistent with informed trading during embargoes of the Federal Open Market Committee's scheduled announcements. The E-mini S&P...

This paper studies whether individual investors have information advantage before earnings announcements on an emerging market using a unique data set of TWSE. Consistent with existing research on American market, it is surprising that pre-event individual investor trading is also positively...

This paper documents that speed is crucially important for high frequency trading strategies based on U.S. macroeconomic news releases. Using order level data of the highly liquid S&P500 ETF traded on NASDAQ from January 6, 2009, to December 12, 2011, we find that a delay of 300 milliseconds (1...

Information arrivals may drive investors to require immediacy, generating sudden liquidity demand across multiple price levels in limit order books. We document significant intraday changes in stock limit order book characteristics and liquidity beyond the best levels around scheduled and...

We provide evidence that recent losses amplify order book illiquidity shocks caused by non-scheduled news. Moreover, the faster markets' reaction to scheduled and non-scheduled news arrivals is in terms of order book illiquidity, the more illiquid the order book becomes; that is, a fast reaction...

Designated market makers (DMMs) are contractually obligated to increase liquidity provision when trading volume breaches a floor. Using this feature in a regression discontinuity design, we show that increased DMM participation facilitates price informativeness with respect to earnings news....

Based on high-frequency firm-level data, this paper uncovers new empirical patterns on intraday momentum in China. First, there exists a strong intraday momentum effect at the firm level. Second, the intraday predictability stems mainly from the overnight component rather than the opening...