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On rules versus discretion in procedures to halt trade

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  • Subrahmanyam, Avanidhar

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  • Subrahmanyam, Avanidhar, 1995. "On rules versus discretion in procedures to halt trade," Journal of Economics and Business, Elsevier, vol. 47(1), pages 1-16, February.
  • Handle: RePEc:eee:jebusi:v:47:y:1995:i:1:p:1-16
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    References listed on IDEAS

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    1. Hopewell, Michael H & Schwartz, Arthur L, Jr, 1978. "Temporary Trading Suspensions in Individual NYSE Securities," Journal of Finance, American Finance Association, vol. 33(5), pages 1355-1373, December.
    2. Slezak, Steve L, 1994. " A Theory of the Dynamics of Security Returns around Market Closures," Journal of Finance, American Finance Association, vol. 49(4), pages 1163-1211, September.
    3. Subrahmanyam, Avanidhar, 1994. " Circuit Breakers and Market Volatility: A Theoretical Perspective," Journal of Finance, American Finance Association, vol. 49(1), pages 237-254, March.
    4. Grossman, Sanford J & Miller, Merton H, 1988. " Liquidity and Market Structure," Journal of Finance, American Finance Association, vol. 43(3), pages 617-637, July.
    5. Gerety, Mason S & Mulherin, J Harold, 1992. " Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close," Journal of Finance, American Finance Association, vol. 47(5), pages 1765-1784, December.
    6. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    7. Madhavan, Ananth, 1992. " Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-641, June.
    8. Kydland, Finn E & Prescott, Edward C, 1977. "Rules Rather Than Discretion: The Inconsistency of Optimal Plans," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 473-491, June.
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    Cited by:

    1. Germani, Anna Rita & Morone, Andrea & Morone, Piergiuseppe & Scaramozzino, Pasquale, 2013. "Discretionary enforcement and strategic interactions between firms, regulatory agency and justice department: a theoretical and empirical investigation," MPRA Paper 51369, University Library of Munich, Germany.
    2. Chou, Pin-Huang & Chou, Robin K. & Ko, Kuan-Cheng & Chao, Chun-Yi, 2013. "What affects the cool-off duration under price limits?," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 256-278.
    3. Chan, Soon Huat & Kim, Kenneth A. & Rhee, S. Ghon, 2005. "Price limit performance: evidence from transactions data and the limit order book," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 269-290, March.
    4. Deb, Saikat Sovan & Kalev, Petko S. & Marisetty, Vijaya B., 2010. "Are price limits really bad for equity markets?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2462-2471, October.
    5. 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.
    6. Ackert, Lucy F. & Church, Bryan & Jayaraman, Narayanan, 2001. "An experimental study of circuit breakers: The effects of mandated market closures and temporary halts on market behavior," Journal of Financial Markets, Elsevier, vol. 4(2), pages 185-208, April.
    7. Huang, Yen-Sheng & Fu, Tze-Wei & Ke, Mei-Chu, 2001. "Daily price limits and stock price behavior: evidence from the Taiwan stock exchange," International Review of Economics & Finance, Elsevier, vol. 10(3), pages 263-288, July.
    8. Goldstein, Michael A. & Kavajecz, Kenneth A., 2004. "Trading strategies during circuit breakers and extreme market movements," Journal of Financial Markets, Elsevier, vol. 7(3), pages 301-333, June.
    9. Daphne Yan Du & Qianqiu Liu & S. Ghon Rhee, 2009. "An Analysis of the Magnet Effect under Price Limits-super-," International Review of Finance, International Review of Finance Ltd., vol. 9(1-2), pages 83-110.
    10. Sarah Draus & Mark van Achter, 2012. "Circuit Breakers and Market Runs," CSEF Working Papers 313, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.

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