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Trading Halts and Price Discovery

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  • Jeff Madura
  • Nivine Richie
  • Alan Tucker

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  • Jeff Madura & Nivine Richie & Alan Tucker, 2006. "Trading Halts and Price Discovery," Journal of Financial Services Research, Springer;Western Finance Association, vol. 30(3), pages 311-328, December.
    • Handle: RePEc:kap:jfsres:v:30:y:2006:i:3:p:311-328
    DOI: 10.1007/s10693-006-0421-x
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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. Ferris, Stephen P & Kumar, Raman & Wolfe, Glenn A, 1992. "The Effect of SEC-Ordered Suspensions on Returns, Volatility, and Trading Volume," The Financial Review, Eastern Finance Association, vol. 27(1), pages 1-34, February.
    3. Jason T. Greene & Susan G. Watts, 1996. "Price Discovery on the NYSE and the NASDAQ: The case of Overnight Daytime News Releases," Financial Management, Financial Management Association, vol. 25(1), Spring.
    4. Brailsford, Timothy J., 1995. "Market closures and time-varying volatility in the Australian equity market," Journal of Empirical Finance, Elsevier, vol. 2(2), pages 165-172, June.
    5. Michael J. Barclay, 2003. "Price Discovery and Trading After Hours," Review of Financial Studies, Society for Financial Studies, vol. 16(4), pages 1041-1073.
    6. Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991. "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, vol. 30(2), pages 253-272, December.
    7. Shane A. Corwin & Marc L. Lipson, 2000. "Order Flow and Liquidity around NYSE Trading Halts," Journal of Finance, American Finance Association, vol. 55(4), pages 1771-1805, August.
    8. Kryzanowski, Lawrence, 1979. "The Efficacy of Trading Suspensions: A Regulatory Action Designed to Prevent the Exploitation of Monopoly Information," Journal of Finance, American Finance Association, vol. 34(5), pages 1187-1200, December.
    9. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
    10. Barclay, Michael J. & Warner, Jerold B., 1993. "Stealth trading and volatility : Which trades move prices?," Journal of Financial Economics, Elsevier, vol. 34(3), pages 281-305, December.
    11. Charles Cao & Eric Ghysels & Frank Hatheway, 2000. "Price Discovery without Trading: Evidence from the Nasdaq Preopening," Journal of Finance, American Finance Association, vol. 55(3), pages 1339-1365, June.
    12. Howe, John S. & Schlarbaum, Gary G., 1986. "SEC Trading Suspensions: Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 323-333, September.
    13. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    14. Kryzanowski, Lawrence & Nemiroff, Howard, 1998. "Price Discovery around Trading Halts on the Montreal Exchange Using Trade-by-Trade Data," The Financial Review, Eastern Finance Association, vol. 33(2), pages 195-212, May.
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    Citations

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    Cited by:

    1. Hai-Chuan Xu & Wei Zhang & Yi-Fang Liu, 2013. "Short-term Market Reaction after Trading Halts in Chinese Stock Market," Papers 1309.1138, arXiv.org, revised Jun 2014.
    2. Jacopo Magnani & David Munro, 2020. "Dynamic runs and circuit breakers: an experiment," Experimental Economics, Springer;Economic Science Association, vol. 23(1), pages 127-153, March.
    3. Xu, Hai-Chuan & Zhang, Wei & Liu, Yi-Fang, 2014. "Short-term market reaction after trading halts in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 103-111.
    4. 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.
    5. Ryan L. Davis & Stephen N. Jurich & Brian S. Roseman & Ethan D. Watson, 2018. "Short-Sale Restrictions and Price Clustering: Evidence from SEC Rule 201," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(3), pages 345-367, December.
    6. Farag, Hisham, 2015. "The influence of price limits on overreaction in emerging markets: Evidence from the Egyptian stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 190-199.
    7. Sihlongonyane, L.N., 2021. "Evaluating the prospect to hedge maize price risk against the Johannesburg Stock Exchange Commodity Derivatives Market prices: The case of Eswatini," Research Theses 334770, Collaborative Masters Program in Agricultural and Applied Economics.

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