کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
973196 932768 2011 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The impact of trading halts on liquidity and price volatility: Evidence from the Australian Stock Exchange
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The impact of trading halts on liquidity and price volatility: Evidence from the Australian Stock Exchange
چکیده انگلیسی

This study examines market behaviour around trading halts associated with information releases on the Australian Stock Exchange, which operates an open electronic limit order book. Using the Lee, Ready and Seguin (1994) pseudo-halt methodology, we find trading halts increase both volume and price volatility. Trading halts also increase bid-ask spreads and reduce market depth at the best-quotes in the immediate post-halt period. The results of this study imply that trading halts impair rather than improve market quality in markets that operate open electronic limit order books.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 19, Issue 3, June 2011, Pages 298–307
نویسندگان
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