VOLUME, VOLATILITY, AND NEW-YORK-STOCK-EXCHANGE TRADING HALTS

• 成果类型: Article
• 署名作者: LEE, CMC; READY, MJ; SEGUIN, PJ
• 署名单位: Cornell University; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329140
• 发表日期: 1994
• 页码: 183-214
• 关键词: MARKET REACTION; price; announcements; returns

摘要

Trading halts increase, rather than reduce, both volume and volatility. Volume (volatility) in the first full trading day after a trading halt is 230 percent (50 to 115 percent) higher than following ''pseudohalts'': nonhalt control periods matched on time of day, duration, and absolute net-of-market returns. These results are robust over different halt types and news categories. Higher posthalt volume is observed into the third day while higher posthalt volatility decays within hours. The extent of media coverage is a partial determinant of volume and volatility following both halts and pseudohalts, but a separate halt effect remains after controlling for the media effect.