TY - JOUR
T1 - The impact of trading halts on liquidity and price volatility
T2 - Evidence from the Australian Stock Exchange
AU - Frino, Alex
AU - Lecce, Steven
AU - Segara, Reuben
PY - 2011/6
Y1 - 2011/6
N2 - 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.
AB - 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.
KW - Australian securities exchange
KW - Liquidity
KW - Market microstructure
KW - Trading halts
UR - http://www.scopus.com/inward/record.url?scp=79951959557&partnerID=8YFLogxK
U2 - 10.1016/j.pacfin.2010.12.003
DO - 10.1016/j.pacfin.2010.12.003
M3 - Article
AN - SCOPUS:79951959557
VL - 19
SP - 298
EP - 307
JO - Pacific-Basin Finance Journal
JF - Pacific-Basin Finance Journal
SN - 0927-538X
IS - 3
ER -