Osavuosikatsauten vaikutukset likviditeettiin osakemarkkinoilla

The objective of this study was to find out how the liquidity of a stock limit order book evolves around earnings announcements. The study also addressed the question of how traders behave around earnings announcements. Third aim was to shed light on what are the effects of earnings announcements on information asymmetries. Liquidity has been recognized as an important factor in the stock markets. However, the shift from dealer markets to limit order markets has changed the liquidity supply: in dealer markets the liquidity is supplied by a market maker and traders only take liquidity, whereas in limit order markets the traders themselves may choose whether to supply or take liquidity. Hence, by studying the liquidity in a limit order market it may be possible to provide information on behaviour of traders and information asymmetries between the traders affecting their trading behaviour. This study used high frequency limit order book data of 75 liquid stocks traded in exchanges belonging to NASDAQ OMX Nordic and earnings announcements released between 2006-2009. The liquidity measure used represents the overall liquidity of a limit order book. The liquidity was studied during 40 minute time window around the releases and compared to the average liquidity during 27 previous trading days. The study found that the liquidity for large trades is at rather low level before the earnings announcements and the announcements are immediately followed by a peak in illiquidity. However, 20 minutes after the announcements the liquidity for large trades has returned to a normal level. In contrast to this, the liquidity for small trades was found to be at rather normal level before the announcement, but after the announcement it remained at higher level. Based on earlier literature, it was proposed that institutional investors supply liquidity before the announcements while many individual investors have canceled their limit orders, and the peak in illiquidity was interpreted to be due to institutional investors changing the behaviour from supplying liquidity to taking it by executing against individuals’ stale limit orders. The peak in illiquidity after the announcement indicated that earnings announcements are followed by momentary increase in information asymmetry. But as the overall liquidity returned to the normal level in 20 minutes after the announcement, using this time period the announcements did seem to decrease information asymmetries