Order Flow And Liquidity Around NYSE Trading Halts  

Oleh:

Lipson, Marc L. ; Corwin, Shane A.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 4 (2000), page 1771-1800.
Topik: liquidity; studies; liquidity; securities trading; statistical analysis; spread; investment policy
Fulltext: p 1771.pdf (780.36KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We study order flow and liquidity around NYSE trading halts. We find that market and limit order submissions and cancellations increase significantly dring trading halts, that a large proportion of the limit order book at the reopen is composed of orders submitted during the halt, and that the market - clearing price at the reopen is a good predictor of future prices. Depth near the quotes is unusually low around trading halts, though specialists and / or floor traders appear to provide additional liquidity at these times. Finally, specialists appear to "spread the quote" prior to imbalance halts to convey information to market participants.

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