Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/233729 
Year of Publication: 
2020
Citation: 
[Journal:] Journal of Financial Research [ISSN:] 1475-6803 [Volume:] 43 [Issue:] 4 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2020 [Pages:] 933-964
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
We analyze limit order book resiliency following liquidity shocks initiated by large market orders. Based on a unique data set, we investigate whether high-frequency traders are involved in replenishing the order book. Therefore, we relate the net liquidity provision of high-frequency traders, algorithmic traders, and human traders around these market impact events to order book resiliency. Although all groups of traders react, our results show that only high-frequency traders reduce the spread within the first seconds after the market impact event. Order book depth replenishment, however, takes significantly longer and is mainly accomplished by human traders’ liquidity provision.
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Creative Commons License: 
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Document Type: 
Article
Document Version: 
Published Version

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