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Liquidity Provision during Circuit Breakers and Extreme Market Movements

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Michael A. Goldstein
Kenneth A. Kavajecz

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Paper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 1-00.

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Handle: RePEc:fth:pennfi:1-00

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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. Bremer, Marc & Hiraki, Takato & Sweeney, Richard J., 1997. "Predictable Patterns after Large Stock Price Changes on the Tokyo Stock Exchange," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(03), pages 345-365, September. [Downloadable!]
  3. Lucy F. Ackert & Bryan K. Church & Narayanan Jayaraman, 1999. "An experimental study of circuit breakers: the effects of mandated market closures and temporary halts on market behavior," Working Paper 99-1, Federal Reserve Bank of Atlanta. [Downloadable!]
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  4. Chung, Kee H. & Van Ness, Bonnie F. & Van Ness, Robert A., 1999. "Limit orders and the bid-ask spread," Journal of Financial Economics, Elsevier, vol. 53(2), pages 255-287, August. [Downloadable!] (restricted)
  5. Goldstein, Michael A. & A. Kavajecz, Kenneth, 2000. "Eighths, sixteenths, and market depth: changes in tick size and liquidity provision on the NYSE," Journal of Financial Economics, Elsevier, vol. 56(1), pages 125-149, April. [Downloadable!] (restricted)
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  6. Subrahmanyam, Avanidhar, 1994. " Circuit Breakers and Market Volatility: A Theoretical Perspective," Journal of Finance, American Finance Association, vol. 49(1), pages 237-54, March. [Downloadable!] (restricted)
  7. Seppi, Duane J, 1997. "Liquidity Provision with Limit Orders and a Strategic Specialist," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(1), pages 103-50.
  8. Greenwald, Bruce C & Stein, Jeremy C, 1991. "Transactional Risk, Market Crashes, and the Role of Circuit Breakers," Journal of Business, University of Chicago Press, vol. 64(4), pages 443-62, October. [Downloadable!] (restricted)
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  1. Roberto Pascual & Alvaro Escribano & Mikel Tapia, 2004. "On the bi-dimensionality of liquidity," European Journal of Finance, Taylor and Francis Journals, vol. 10(6), pages 542-566, December. [Downloadable!] (restricted)
  2. Hollifield, Burton & Miller, Robert & Sandås, Patrik, 2001. "Empirical Analysis of Limit Order Markets," CEPR Discussion Papers 2843, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  3. Cotter, John & Dowd, Kevin, 2007. "Intra-Day Seasonality in Foreign Exchange Market Transactions," MPRA Paper 3502, University Library of Munich, Germany. [Downloadable!]
  4. Helena Beltran & Alain Durré & Pierre Giot, 2004. "How does liquidity react to stress periods in a limit order market?," Research series 200405-5, National Bank of Belgium. [Downloadable!]
  5. Haiwei Chen & Honghui Chen & Nicholas Valerio, 2003. "The effects of trading halts on price discovery for NYSE stocks," Applied Economics, Taylor and Francis Journals, vol. 35(1), pages 91-97, January. [Downloadable!] (restricted)
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