The Research of Unexpected Ggeneralized Information and Liquidity Dynamic Behavior

Based on the jump's intraday detection method, expending the set of information to a general one, this paper analyzes intraday liquidity dynamic behavior around the arrival of unexpected generalized information and reveals how the time of information arrival impacts on the characteristic of liquidity recovery. The empirical result finds that the arrival of information often occurs with changes of liquidity's several dimensions, and these dimensions show different reactions and responses. The information's direction and degree of unexpectedness also become an important factor to affect liquidity behavior. A further study suggests market opening and lunch?break can change the path of liquidity recovery.