Abstract
We examine the intraday impact of predictable and measurable public information shocks on various dimensions of liquidity in a very fast and liquid market. These information shocks resolve information asymmetry, move prices in the direction of the information, and lead investors to increase liquidity as measured by quoted spreads, volume, depth, and absolute order imbalance. Moreover, price impact and effective spread are higher as trading moves prices to reflect the new information. Our findings complement recent work of Collin-Dufresne and Fos (2015) and Foucault, Hombert, and Rosu (2016) by showing how intraday liquidity measures respond to information shocks in the presence of high frequency traders.
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