High-frequency tweeting and market making after hours

This paper analyzes differences between the regular and extended trading sessions in the high-frequency reaction of equity markets to potential news. Using presidential tweets as market-stirring events, I find that generally volatility increases and liquidity deteriorates within less than a second after a tweet. Compared to the regular trading session, the reduction in market quality is stronger and faster during the extended trading hours, when liquidity is lower and designated market maker participation is optional.