Anatomy of a Market Failure: NYSE Trading Suspensions (1974-1988).
A cross-sectional analysis of all trading suspensions that occurred during the period 1974-88 in the New York Stock Exchange reveals that, though the desire to maintain price continuity remains an important motivation to suspend trade, inventory-imbalance fears are pronounced for large firms. Adverse-selection concerns afflict all news-related suspensions irrespective of firm size. Furthermore, the authors find substitutability among the various dimensions of liquidity: although large-cap stocks have lower bid-ask spreads, they halt more often. A time series analysis shows that the resiliency of the exchange--its ability to absorb severe volatility shocks--has improved in this period.
Year of publication: |
1998
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Authors: | Bhattacharya, Utpal ; Spiegel, Matthew |
Published in: |
Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 16.1998, 2, p. 216-26
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Publisher: |
American Statistical Association |
Saved in:
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