Impact des interruptions de cotation sur la microstructure du marché boursier français
The purpose of the regulated interruptions of quotation on Stock exchange markets is to reduce asymmetries of information and volatility and to allow the emergence of a consensus. The use of these interruptions is very frequent on the French stock exchange market for the values included in the CAC 40, the SBF 120 and the SBF 250 indexes : one notes on average more than 7 interruptions per trading day. The frequency is all the more high as the values have weak market capitalizations. However, our empirical study emphasizes an inefficiency of the reservations of quotation. Indeed, the volatility of the prices is higher after reservation.
|Date of creation:||2002|
|Publication status:||Published in Revue d'économie financière, AEF, 2002, pp. 253-259|
|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00142776|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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