IDEAS home Printed from https://ideas.repec.org/p/osk/wpaper/2603r.html

Effectiveness of Trading Pauses: Evidence from the Tokyo Stock Exchange

Author

Listed:
  • Akitada Kasahara

    (Graduate School of Economics, the University of Osaka)

  • Masahiro Yamada

    (School of Management, Tokyo University of Science)

Abstract

We estimate the causal effect of single-stock trading pauses on market quality using tick-by-tick order book data from the Tokyo Stock Exchange (TSE). Using percentage distances to yen-denominated triggering thresholds as an instrument, we find that pauses extending the opening auction reduce subsequent volatility by roughly a quarter, consistent with reduced transitory price variation. Order flows suggest that extra auction time lets aggressively priced limit orders offset the initial imbalance. Reductions are larger for stocks with lower turnover and smaller after overnight price declines. We detect no robust volatility reduction for pauses interrupting continuous trading.

Suggested Citation

  • Akitada Kasahara & Masahiro Yamada, 2026. "Effectiveness of Trading Pauses: Evidence from the Tokyo Stock Exchange," Discussion Papers in Economics and Business 26-03-Rev., Osaka University, Graduate School of Economics, revised Oct 2026.
    • Handle: RePEc:osk:wpaper:2603r
    as

    Download full text from publisher

    File URL: https://www2.econ.osaka-u.ac.jp/econ_society/dp/2603R.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:osk:wpaper:2603r. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: The Economic Society of Osaka University (email available below). General contact details of provider: https://edirc.repec.org/data/feosujp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.