The information content of trading halts

Jiang, Christine X.; McInish, Thomas H.; Upson, James

doi:10.1016/j.finmar.2009.06.002

Cited by 25 publications

(11 citation statements)

References 29 publications

(42 reference statements)

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“…Trading halt is one of microstructure mechanisms in equity market designed to temporarily stop trading during the period of extremely price movement or of the announcement of significant events. Some financial literatures [22][23][24][25][26][27][28][29][30][31][32] have studied the effects of trading halts, such as price discovery, liquidity and volatility, from the perspective of information dissemination and transaction cost. While no unified pattern has been discovered and few studies focus on comparing the dynamics around different types of trading halts.…”

Section: Introductionmentioning

confidence: 99%

Short-term market reaction after trading halts in Chinese stock market

Zhang

Liu

2014

Physica A: Statistical Mechanics and its Applications

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In this paper, we study the dynamics of absolute return, trading volume and bid-ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We deal with all three types of trading halts, namely intraday halts, one-day halts and inter-day halts, of 203 stocks in Shanghai Stock Exchange from August 2009 to August 2011. We find that absolute return, trading volume, and in case of bid-ask spread around intraday halts share the same pattern with a sharp peak and a power law relaxation after that. While for different types of trading halts, the peaks' height and the relaxation exponents are different. From the perspective of halt reasons or halt durations, the relaxation exponents of absolute return after inter-day halts are larger than those after intraday halts and one-day halts, which implies that inter-day halts are most effective. From the perspective of price trends, the relaxation exponents of excess absolute return and excess volume for positive events are larger than those for negative events in case of intraday halts and one-day halts, implying that positive events are more effective than negative events for intraday halts and one-day halts. In contrast, negative events are more effective than positive events for inter-day halts.

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Section: Introductionmentioning

confidence: 99%

Short-term market reaction after trading halts in Chinese stock market

Zhang

Liu

2014

Physica A: Statistical Mechanics and its Applications

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“…However, this industry link is distinct from the information channel considered in earlier studies (e.g. Jiang et al, 2009;Spiegel and Subrahmanyam, 2000). Table 1 shows the summary statistics for SSCB and other related non-halted stocks.…”

Section: Pairs Trading Stocksmentioning

confidence: 94%

“…However, this industry link is distinct from the information channel considered in earlier studies (e.g. Jiang et al ., ; Spiegel and Subrahmanyam, ).…”

Section: Single‐stock Circuit Breaker Eventsmentioning

confidence: 99%

Intraday Rallies and Crashes: Spillovers of Trading Halts

Cui

Gozluklu

2016

Int. J Fin Econ

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This paper analyses a set of intraday rally and crash events at the firm level during the single‐stock circuit breaker program and documents the cross‐sectional spillover effects of such events on non‐halted stocks. We test whether such major price jumps, and subsequent trading halts, affect related stocks through the destabilizing eme price movements that trigger the circuit breakers at the firm level are accompanied by a massive surge in volume, spread and short‐term volatility, which gradually revert back to normal. Speculative strategies of arbitrageurs such as momentum and pairs trading cause cross‐sectional spillovers in volume and volatility during the trading halt. Copyright © 2016 John Wiley & Sons, Ltd.

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“…5 Goldstein and Kavajecz (2004) examine trading in the lead-up to the the October 1997 market-wide suspension and find that while participants did not significantly change the number or volume of trades as the DJIA approached the limit price, the proximity of sell-limit orders to the best bid did reduce and that there was a concentration of cancellations of buy orders ahead of the event. One of the few papers to consider how trading suspensions impact related securities rather than the security undergoing the suspension is Jiang et al (2009) Tookes (2008) and Jiang et al (2009) are considering information-related trading suspensions rather than trading based circuit breakers, as are in place on the LSE.…”

Section: Sec and Cftc 2010mentioning

confidence: 99%

Circuit Breakers on the London Stock Exchange: Do They Improve Subsequent Market Quality?

Brugler

Linton

2014

SSRN Journal

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This paper uses proprietary data to evaluate the efficacy of single-stock circuit breakers on the London Stock Exchange during July and August 2011. We exploit exogenous variation in the length of the uncrossing periods that follow a trading suspension to estimate the effect of auction length on market quality, measured by volume of trades, frequency of trading and the change in realised variance of returns. We also estimate the effect of a trading suspension in one FTSE-100 stock on the volume of trades, trading frequency and the change in realised variance of returns for other FTSE-100 stocks. We find that auction length has a significant detrimental effect on market quality for the suspended security when returns are negative but no discernible effect when returns are positive. We also find that trading suspensions help to ameliorate the spread of market microstructure noise and price inefficiency across securities during falling markets but the reverse is true during rising markets. Although trading suspensions may not improve the trading process within a particular security, they do play an important role preventing the spread of poor market quality across securities in falling markets and therefore can be effective tools for promoting market-wide stability.

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The information content of trading halts

Cited by 25 publications

References 29 publications

Short-term market reaction after trading halts in Chinese stock market

Short-term market reaction after trading halts in Chinese stock market

Intraday Rallies and Crashes: Spillovers of Trading Halts

Circuit Breakers on the London Stock Exchange: Do They Improve Subsequent Market Quality?

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