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The Over-the-Counter Market and New York Stock Exchange Trading Halts

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  • Fabozzi, Frank J
  • Ma, Christopher K

Abstract

This paper examines the over-the-counter market activities for stoc ks temporarily suspended by the New York Stock Exchange. Unlike previous studies, the authors use transaction-to-transaction data on the NASD AQ during New York Stock Exchange trading halts to investigate the price adjustment process between market equilibria. The evidence indicates that while being halted by the New York Stock Exchange, the same stocks have exhibited significantly greater volatility in the over-the-counter market. Since the volatile price movement is mainly random and provides no arbitraging opportunities for the over-the-counter market traders, the authors do not find support for the proposal that trading halts should be mandatory for all trading locations. Copyright 1988 by MIT Press.

Suggested Citation

  • Fabozzi, Frank J & Ma, Christopher K, 1988. "The Over-the-Counter Market and New York Stock Exchange Trading Halts," The Financial Review, Eastern Finance Association, vol. 23(4), pages 427-437, November.
    • Handle: RePEc:bla:finrev:v:23:y:1988:i:4:p:427-37
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    Cited by:

    1. Ronald King & Grace Pownall & Gregory Waymire, 1992. "Corporate disclosure and price discovery associated with NYSE temporary trading halts," Contemporary Accounting Research, John Wiley & Sons, vol. 8(2), pages 509-531, March.
    2. Chakrabarty, Bidisha & Corwin, Shane A. & Panayides, Marios A., 2011. "When a halt is not a halt: An analysis of off-NYSE trading during NYSE market closures," Journal of Financial Intermediation, Elsevier, vol. 20(3), pages 361-386, July.
    3. Charles M.C. Lee, 1992. "Discussion of “Corporate disclosure and price discovery associated with NYSE temporary trading haltsâ€," Contemporary Accounting Research, John Wiley & Sons, vol. 8(2), pages 532-539, March.
    4. Imtiaz Mohammad Sifat & Azhar Mohamad, 2019. "Circuit breakers as market stability levers: A survey of research, praxis, and challenges," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(3), pages 1130-1169, July.
    5. Lages, André Maia Gomes, 2006. "A Contribuição Singular de Simon e sua Repercussão Teórica Relevante [Simon's Unique Contribution and Its Relevant Theoretical Impact]," MPRA Paper 31182, University Library of Munich, Germany, revised 21 Mar 2006.
    6. Haiwei Chen & Honghui Chen & Nicholas Valerio, 2003. "The effects of trading halts on price discovery for NYSE stocks," Applied Economics, Taylor & Francis Journals, vol. 35(1), pages 91-97.

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