Trading strategies during circuit breakers and extreme market movements

被引:73
作者
Goldstein, MA
Kavajecz, KA
机构
[1] Babson Coll, Dept Finance, Joseph Winn Term Chair, Babson Pk, MA 02457 USA
[2] Univ Wisconsin, Sch Business, Madison, WI 53706 USA
关键词
liquidity provision; limit order book; market crash; circuit breaker; electronic versus floor trading;
D O I
10.1016/j.finmar.2003.11.003
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We study the trading strategies of NYSE market participants through their choice of venue, order type and timing during the turbulent October 1997 period. During this period, we find the implicit costs of supplying liquidity through the electronic limit order book become so high as to induce market participants to withdraw depth from the book, opting instead for the flexibility and discretion of floor trading. In addition, we find that ahead of a market-wide closure, market participants display behavior consistent with the magnet effect, while during the market-wide closure they curtail activity. Our results have implications for the viability of ECNs and electronic limit order books during turbulent periods as well as regulation aimed at maintaining the orderly working of markets during crisis periods. (C) 2004 Elsevier B.V. All rights reserved.
引用
收藏
页码:301 / 333
页数:33
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