Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis |
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| Institution: | 1. University of Sousse, Sousse 4054, Tunisia;2. IPAG Business School, Paris 75006, France;3. University of Manouba, Manouba 2010, Tunisia;1. Department of Economic and Regional Development, Panteion University, 136 Syngrou Av., Athens, 176 71, Greece;2. Postgraduate Department of Business Administration, Hellenic Open University, Aristotelous 18, 26 335, Greece;1. Department of Accounting and Finance, Technological Educational Institute of Peloponnese, Kalamata, Greece;2. Department of Banking and Financial Management, University of Piraeus, Greece;1. Department of Economics, Faculty of Economics and Management, Universiti Putra Malaysia, 43400, UPM, Serdang, Selangor, Malaysia;2. Department of Economics, Islamia College University, Peshawar, Khyber Pakhtunkhwa, Pakistan;1. University of Tunis, Higher Institute of Management of Tunis, University of Manouba, RIGUEUR Laboratory, Manouba, Tunisia;2. EDC Paris Business School, OCRE-Lab, Paris, France |
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| Abstract: | Characteristics of a complete limit order book (LOB) for Euro/US dollar in 2006-09, are asymmetrically affected by scheduled macro news announcements during the financial crisis. Depth is the most responsive characteristic followed by spread, volatility and slope. Depth and volatility respond more to expansion surprises, while spread and slope are more sensitive to recession. The effect of the announcement’s occurrence without surprise is overwhelmingly positive (negative) for depth and volatility (spread) in both regimes. This effect is mitigated by the surprise. More than half of US scheduled news surprises have state dependent depth coefficients, most with opposing signs between recession and expansion. Using all quote levels generates stronger characteristic response, indicating the existence of information outside of the best quotes. |
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| Keywords: | Macroeconomic news Limit order book Foreign exchange market Vector autoregressive |
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