Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/123745
Authors: 
Jiang, George J.
Lo, Ingrid
Valente, Giorgio
Year of Publication: 
2014
Series/Report no.: 
Bank of Canada Working Paper 2014-56
Abstract: 
This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i-Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency. Our results show that HF activities have a negative effect on liquidity around economic announcements: they widen spreads during the pre-announcement period and lower depth on the order book during the post-announcement period. The negative impact on liquidity mainly derives from HF trades. Nonetheless, HF trades improve price efficiency during both the preannouncement and post-announcement periods.
Subjects: 
Financial markets
JEL: 
G10
G12
G14
Document Type: 
Working Paper

Files in This Item:
File
Size
391.03 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.