Anatomy of a Market Failure: NYSE Trading Suspensions (1974-1988)
AbstractA cross-sectional analysis of all trading suspensions that occurred during the period 1974-1988 in the New York Stock Exchange reveals that though the desire to maintain price continuity remains an important motivation to suspend trade, inventory imbalance fears are pronounced for large firms. Adverse selection concerns afflict all news related suspensions irrespective of firm size. Further, we find substitutability amongst the various dimensions of liquidity: while large cap stocks have lower bid-ask spreads, they halt more often. A time-series analysis shows that the resiliency of the exchange -- its ability to absorb severe volatility shocks -- has improved in this period.
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Bibliographic InfoPaper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm33.
Date of creation: 01 May 1997
Date of revision: 01 Apr 2003
Trading halts; Market resiliency; Liquidity; Inventory control; Adverse selection;
Other versions of this item:
- Bhattacharya, Utpal & Spiegel, Matthew, 1998. "Anatomy of a Market Failure: NYSE Trading Suspensions (1974-1988)," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 216-26, April.
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- Degryse, H.A. & Jong, F.C.J.M. de & Ravenswaaij, M. van & Wuyts, G., 2002.
"Aggressive Orders and the Resiliency of a Limit Order Market,"
2002-80, Tilburg University, Center for Economic Research.
- Hans Degryse & Frank Jong & Maarten Ravenswaaij & Gunther Wuyts, 2005. "Aggressive Orders and the Resiliency of a Limit Order Market," Review of Finance, Springer, vol. 9(2), pages 201-242, 06.
- Degryse, Hans & De Jong, F & Van Ravenswaaij, M & Wuyts, Gunther, 2002. "Aggressive orders and the resiliency of a limit order market," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/121608, Katholieke Universiteit Leuven.
- Wuyts, Gunther, 2007. "Stock market liquidity: Determinants and implications," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/203006, Katholieke Universiteit Leuven.
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