Nasdaq trading halts: The impact of market mechanisms on prices, trading activity, and execution costs

• 成果类型: Article
• 署名作者: Christie, WG; Corwin, SA; Harris, JH
• 署名单位: Vanderbilt University; University of Notre Dame; University of Delaware
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00466
• 发表日期: 2002
• 页码: 1443-1478
• 关键词: securities; INFORMATION; suspensions

摘要

We study the effects of alternative halt and reopening procedures on prices, transaction costs, and trading activity for a sample of news-related trading halts on Nasdaq. For intraday halts that reopen after only a five-minute quotation period, inside quoted spreads more than double following halts and volatility increases to more than nine times normal levels. In contrast, halts that reopen the following day with a longer 90-minute quotation period are associated with insignificant spread effects and significantly dampened volatility effects. These results are consistent with the hypothesis that increased information transmission during the halt results in reduced posthalt uncertainty.