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Barbara Będowska-Sójka

is an assistant professor at the Department of Econometrics at Poznań University of Economics where she received her PhD in Economics in 2005. Her main research interests are in financial market microstructure, financial econometrics and volatility modeling. She also focuses on the measures of volatility based on the high frequency data. Recently she has published a book on the impact of information on the intraday prices of financial instruments.

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Liquidity Dynamics around Jumps. The Evidence from the Warsaw Stock Exchange

The aim of our study is to examine the dynamics of trading volume and number of trades around jumps detected in intraday stock returns. We detect jumps in equally spaced 10-minute returns for most liquid stocks quoted on the Warsaw Stock Exchange within one-year sample period. We match jumps with macroeconomic and firm specific news. We find that only minority of jumps is associated with public information releases, whereas majority of them is motivated by liquidity shocks observed in the spreads, volume and the number of trades. Our findings show that jumps are related to inability of the market to absorb new and big orders. Liquidity shocks in quoted spread, volume and number of trades are the key drivers causing the occurrence of the jumps. Finally, the introduction of faster and more efficient trading system enhanced the impact of liquidity on the price formation process.

Last modified: 2018.11.30.