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The Effect of Trading Halts on the Speed of Price Discovery

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Author Info
Shmuel Hauser
Haim Kedar-Levy ()
Batia Pilo
Itzhak Shurki

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10693-005-5109-0
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Publisher Info
Article provided by Springer in its journal Journal of Financial Services Research.

Volume (Year): 29 (2006)
Issue (Month): 1 (February)
Pages: 83-99
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Handle: RePEc:kap:jfsres:v:29:y:2006:i:1:p:83-99

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Web page: http://www.springerlink.com/link.asp?id=102934

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Related research
Keywords: Speed of price discovery; trading halts; market efficiency;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Greenwald, Bruce C & Stein, Jeremy, 1988. "The Task Force Report: The Reasoning behind the Recommendations," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 3-23, Summer. [Downloadable!] (restricted)
  2. Kodres, Laura E & O'Brien, Daniel P, 1994. "The Existence of Pareto-Superior Price Limits," American Economic Review, American Economic Association, vol. 84(4), pages 919-32, September. [Downloadable!] (restricted)
  3. William G. Christie & Shane A. Corwin & Jeffrey H. Harris, 2002. "Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs," Journal of Finance, American Finance Association, vol. 57(3), pages 1443-1478, 06. [Downloadable!] (restricted)
  4. Amihud, Yakov & Mendelson, Haim, 1987. " Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-53, July. [Downloadable!] (restricted)
  5. Avner Kalay & Li Wei & Avi Wohl, 2002. "Continuous Trading or Call Auctions: Revealed Preferences of Investors at the Tel Aviv Stock Exchange," Journal of Finance, American Finance Association, vol. 57(1), pages 523-542, 02. [Downloadable!] (restricted)
  6. Kryzanowski, Lawrence & Nemiroff, Howard, 2001. "Market Quote and Spread Component Cost Behavior around Trading Halts for Stocks Interlisted on the Montreal and Toronto Stock Exchanges," The Financial Review, Eastern Finance Association, vol. 36(2), pages 115-38, May.
  7. Hauser, Shmuel & Lauterbach, Beni, 2003. "The Impact of Minimum Trading Units on Stock Value and Price Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(03), pages 575-589, September. [Downloadable!]
  8. Bruno Biais & Pierre Hillion & Chester Spatt, 1999. "Price Discovery and Learning during the Preopening Period in the Paris Bourse," Journal of Political Economy, University of Chicago Press, vol. 107(6), pages 1218-1248, December. [Downloadable!] (restricted)
  9. Shane A. Corwin & Marc L. Lipson, 2000. "Order Flow and Liquidity around NYSE Trading Halts," Journal of Finance, American Finance Association, vol. 55(4), pages 1771-1805, 08. [Downloadable!] (restricted)
  10. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March. [Downloadable!]
  11. Chiraphol N. Chiyachantana & Pankaj K. Jain & Christine Jiang & Robert A. Wood, 2004. "International Evidence on Institutional Trading Behavior and Price Impact," Journal of Finance, American Finance Association, vol. 59(2), pages 869-898, 04. [Downloadable!] (restricted)
  12. Roger Edelen & Simon Gervais, 2003. "The Role of Trading Halts in Monitoring a Specialist Market," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 16(1), pages 263-300.
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