Empirical Evidence on the Role of Trading Suspensions in Disseminating New Information to the Capital Market
AbstractThis paper examines the effect of temporarily suspending the trading of exchange-listed individual stocks.We evaluate whether the regulatory authorities can successfully use the mechanism of trading halts in forcing companies to disclose new and material information to the capital market.In contrast to previous studies which mainly concentrate on North-American stock markets, this study utilises a new data set comprising of firms listed on the Brussels Stock Exchange.Our results show that suspension is indeed an effective means of disseminating new information.Stock prices adjust completely and instantaneously to the new information released during trading suspensions.We also observe a significant increase in trading volume after the reinstatement of trading.On the other hand, we do not find any increase in stock return volatility around trading suspensions.Overall, our results confirm the efficacy of trading suspensions in disseminating new information.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2001-92.
Date of creation: 2001
Date of revision:
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capital markets; information; trade;
Other versions of this item:
- Peter-Jan Engelen & Rezaul Kabir, 2006. "Empirical Evidence on the Role of Trading Suspensions in Disseminating New Information to the Capital Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(7-8), pages 1142-1167.
- G30 - Financial Economics - - Corporate Finance and Governance - - - General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
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