Nasdaq Trading Halts : The Impact of Market Mechanism on Prices, Trading Activity, nd Execution Costs  

Oleh:

Corwin, Shane A. ; Harris, Jeffrey H. ; Christie, William G.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 3 (2002), page 1443-1478.
Topik: trading; studies; NASDAQ trading; impact analysis; stock prices; spread; volatility
Fulltext: p 1443.pdf (608.63KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.6 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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 in 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.

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