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The Effect of SEC-Ordered Suspensions on Returns, Volatility, and Trading Volume

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  • Ferris, Stephen P
  • Kumar, Raman
  • Wolfe, Glenn A

Abstract

This study evaluates the effect of SEC-ordered suspensions on securities' returns, volatility, and trading volume during 1963-87. It is found that there is a permanent devaluation of these securities during the suspension. This result, however, is sensitive to the announced reason for the suspension. Both the variance and the trading volume are found to be substantially higher than normal in the pre-suspension period. This trend continues in the immediate post-suspension period. The variance and volume levels return to more normal levels only at a much later date. The authors conclude that trading suspensions are not associated with the immediate elimination of unusual market activity. Copyright 1992 by MIT Press.

Suggested Citation

  • Ferris, Stephen P & Kumar, Raman & Wolfe, Glenn A, 1992. "The Effect of SEC-Ordered Suspensions on Returns, Volatility, and Trading Volume," The Financial Review, Eastern Finance Association, vol. 27(1), pages 1-34, February.
    • Handle: RePEc:bla:finrev:v:27:y:1992:i:1:p:1-34
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    Cited by:

    1. Peter‐Jan Engelen & Rezaul Kabir, 2006. "Empirical Evidence on the Role of Trading Suspensions in Disseminating New Information to the Capital Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(7‐8), pages 1142-1167, September.
    2. Imtiaz Mohammad Sifat & Azhar Mohamad, 2019. "Circuit breakers as market stability levers: A survey of research, praxis, and challenges," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(3), pages 1130-1169, July.
    3. Jeff Madura & Nivine Richie & Alan Tucker, 2006. "Trading Halts and Price Discovery," Journal of Financial Services Research, Springer;Western Finance Association, vol. 30(3), pages 311-328, December.
    4. Bacha, Obiyathulla I. & Mohamed, Eskandar R. & Ramlee, Roslily, 2008. "The Efficiency of Trading Halts; Evidence from Bursa Malaysia," MPRA Paper 13077, University Library of Munich, Germany.

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