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Order Flow and Liquidity around NYSE Trading Halts

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  • Shane A. Corwin
  • Marc L. Lipson

Abstract

We study order flow and liquidity around NYSE trading halts. We find that market and limit order submissions and cancellations increase significantly during trading halts, that a large proportion of the limit order book at the reopen is composed of orders submitted during the halt, and that the market‐clearing price at the reopen is a good predictor of future prices. Depth near the quotes is unusually low around trading halts, though specialists and/or floor traders appear to provide additional liquidity at these times. Finally, specialists appear to “spread the quote” prior to imbalance halts to convey information to market participants.

Suggested Citation

  • Shane A. Corwin & Marc L. Lipson, 2000. "Order Flow and Liquidity around NYSE Trading Halts," Journal of Finance, American Finance Association, vol. 55(4), pages 1771-1801, August.
    • Handle: RePEc:bla:jfinan:v:55:y:2000:i:4:p:1771-1801
    DOI: 10.1111/0022-1082.00267
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