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Market Quote and Spread Component Cost Behavior around Trading Halts for Stocks Interlisted on the Montreal and Toronto Stock Exchanges

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  • Kryzanowski, Lawrence
  • Nemiroff, Howard

Abstract

We use intraday quotes and transactions on halted securities that interlisted on the Toronto Stock Exchange and Montreal Exchange to decompose the spreads and examine quote depths. Our results show that order-processing costs differ for trading halts at the open compared to halts during the rest of the trading day. We find that the adverse-selection cost component of the spread is higher around trading halts and highest at the trading halt. We also find that print-media articles that appear within the four-day window centered on the halt have no impact on the time-series behavior of the spread cost. Copyright 2001 by MIT Press.

Suggested Citation

  • 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 115-138, May.
    • Handle: RePEc:bla:finrev:v:36:y:2001:i:2:p:115-38
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    Cited by:

    1. Krishna Reddy & Rudi Bosman & Nawazish Mirza, 2019. "Impact Of Credit Ratings On Stock Returns," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(3), pages 343-366, January.
    2. Lirong Liu & Shiyou Li & Michael Opara, 2018. "Corporate social responsibility and strategic company behaviour: CVS Health's discontinuation of tobacco products," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 25(6), pages 1293-1305, November.
    3. Griffith, Todd & Clancey-Shang, Danjue, 2023. "Cryptocurrency regulation and market quality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    4. Kim, Yong H. & Yagüe, José & Yang, J. Jimmy, 2008. "Relative performance of trading halts and price limits: Evidence from the Spanish Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 197-215.
    5. 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, September.
    6. Shmuel Hauser & Haim Kedar-Levy & Batia Pilo & Itzhak Shurki, 2006. "The Effect of Trading Halts on the Speed of Price Discovery," Journal of Financial Services Research, Springer;Western Finance Association, vol. 29(1), pages 83-99, February.
    7. Frino, Alex & Prodromou, Tina & Wang, George H.K. & Westerholm, P. Joakim & Zheng, Hui, 2017. "An empirical analysis of algorithmic trading around earnings announcements," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 34-51.
    8. 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.
    9. Frino, Alex & Lecce, Steven & Segara, Reuben, 2011. "The impact of trading halts on liquidity and price volatility: Evidence from the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 19(3), pages 298-307, June.

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