Trading halts and price discovery

被引：8

作者：

Madura J. ^{[1
]}

Richie N. ^{[2
]}

Tucker A.L. ^{[3
]}

机构：

[1] Florida Atlantic University, Boca Raton, FL

[2] Sigmund Weis School of Business, Susquehanna University, Selinsgrove, PA 17870

[3] Pace University, New York, NY

来源：

Journal of Financial Services Research | 2006年 / 30卷 / 3期

关键词：

Event study; Market efficiency; Price discovery; Trading halts;

D O I：

10.1007/s10693-006-0421-x

中图分类号：

学科分类号：

摘要：

Trading halts have their proponents and opponents. Recent literature has examined the benefits of halts, if any, by studying the consequences of halts on order flow and price volatility. This study complements existing literature by examining the consequences of trading halts on price discovery. Our results indicate that stock price adjustments surrounding trading halts are conditioned on the underlying event that caused the halt. The weighted price contributions of all subsamples are concentrated in the halt period and some subsamples show significant price contribution in the pre-halt period as well. We find minimal evidence of price discovery continuing after the halt is removed. In addition, cross-sectional analysis shows that price discovery in the pre-halt and halt periods are more pronounced for larger firms and for firms with specific news events. © Springer Science + Business Media, LLC 2006.

引用

页码：311 / 328

页数：17

共 18 条

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