The Impact of Trading Halts on Liquidity and Price Volatility : Evidence From the Australian Stock Exchange

This study examines market behaviour around trading halts associated with information releases on the Australian Stock Exchange, which operates an open electronic limit order book. Using the Lee, Ready and Seguin (1994) pseudo-halt methodology, we find trading halts increase both volume and price volatility. Trading halts also increase bid-ask spreads and reduce market depth at the best-quotes in the immediate post-halt period. The results of this study imply that trading halts impair rather than improve market quality in markets that operate open electronic limit order books

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Year of publication:	2020
Authors:	Frino, Alex
Other Persons:	Lecce, Steven (contributor) ; Segara, Reuben (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Australien \| Australia \| Volatilität \| Volatility \| Börsenkurs \| Share price \| Wertpapierhandel \| Securities trading \| Liquidität \| Liquidity \| Börse \| Bourse
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Pacific-Basin Finance Journal Vol. 19(3): 298-307 (2011) Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 1, 2011 erstellt Volltext nicht verfügbar
Classification:	G10 - General Financial Markets. General ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

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