The role of trading halts in monitoring a specialist market

• 成果类型: Article
• 署名作者: Edelen, R; Gervais, S
• 署名单位: University of Pennsylvania
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/16.1.263
• 发表日期: 2003
• 页码: 263
• 关键词: CIRCUIT-BREAKERS; Price discovery; Order Flow; INFORMATION; suspensions; volatility; securities; exchange; futures; teams

摘要

When a collection of specialists organize as an exchange, each can reap net private benefits at the expense of the exchange by quoting a privately optimal pricing schedule. Coordination makes all specialists and customers better off, but requires a system of monitoring and punishment that breaks down when information asymmetries between the exchange and a specialist are high. The specialist may then seek a temporary trading halt to alleviate unjustified punishment, or the exchange may halt trading to prevent the quoting of damaging privately optimal pricing schedules. We test this theory on a sample of NYSE halts. As predicted, we find a significant increase, in estimated information asymmetry immediately preceding trading halts.