The effect of trading halts on the speed of price discovery

被引：6

作者：

Hauser S. ^{[1
,2
,4
]}

Kedar-Levy H. ^{[2
,3
,5
]}

Pilo B. ^{[4
]}

Shurki I. ^{[4
]}

机构：

[1] School of Management, Ben Gurion University of the Negev, Israel Securities Authority

[2] School of Management, Ben Gurion University of the Negev

[3] Fox School of Business, Temple University

[4] School of Management, Ben Gurion University of the Negev, Beer Sheva 84105

来源：

Journal of Financial Services Research | 2006年 / 29卷 / 1期

关键词：

Market efficiency; Speed of price discovery; Trading halts;

D O I：

10.1007/s10693-005-5109-0

中图分类号：

学科分类号：

摘要：

Trading halts are aimed at reducing information asymmetry by granting investors the opportunity to reassess trades upon arrival of new, substantial information. This study is the first to address the efficiency of the price discovery process with respect to time, i.e., the speed of adjustment to new information. A unique database allow us to conduct an event study analysis and measure the impact of trading halts on price discovery while controlling for content, operational and value effects. We find that information dissemination following trading halts is over 40% faster and that abnormal trading activity is positively related to the speed of price adjustment. © 2006 Springer Science + Business Media, Inc.

引用

页码：83 / 99

页数：16

共 17 条

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