Order flow and liquidity around NYSE trading halts

被引：68

作者：

Corwin, SA ^{[1
]}

Lipson, ML ^{[1
]}

机构：

[1] Univ Georgia, Terry Coll Business, Athens, GA 30602 USA

来源：

JOURNAL OF FINANCE | 2000年 / 55卷 / 04期

关键词：

D O I：

10.1111/0022-1082.00267

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study order flow and liquidity around NYSE trading halts. We find that market and limit order submissions and cancellations increase significantly during 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.

引用

页码：1771 / 1801

页数：31

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