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The Effect Of Trading Halts On Excess Returns During Periods Of System Overload

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  • J. Ernest Tanner
  • Jonathan B. Pritchett

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  • J. Ernest Tanner & Jonathan B. Pritchett, 1992. "The Effect Of Trading Halts On Excess Returns During Periods Of System Overload," Review of Financial Economics, John Wiley & Sons, vol. 1(2), pages 1-16, March.
    • Handle: RePEc:wly:revfec:v:1:y:1992:i:2:p:1-16
    DOI: 10.1002/j.1873-5924.1992.tb00545.x
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    References listed on IDEAS

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    1. Hopewell, Michael H & Schwartz, Arthur L, Jr, 1978. "Temporary Trading Suspensions in Individual NYSE Securities," Journal of Finance, American Finance Association, vol. 33(5), pages 1355-1373, December.
    2. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
    3. Stoll, Hans R, 1978. "The Pricing of Security Dealer Services: An Empirical Study of NASDAQ Stocks," Journal of Finance, American Finance Association, vol. 33(4), pages 1153-1172, September.
    4. Tinic, Seha M. & West, Richard R., 1972. "Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(3), pages 1707-1727, June.
    5. Grier, Paul C & Albin, Peter S, 1973. "Nonrandom Price Changes in Association with Trading in Large Blocks," The Journal of Business, University of Chicago Press, vol. 46(3), pages 425-433, July.
    6. Howe, John S. & Schlarbaum, Gary G., 1986. "SEC Trading Suspensions: Empirical Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 323-333, September.
    7. Kraus, Alan & Stoll, Hans R, 1972. "Price Impacts of Block Trading on the New York Stock Exchange," Journal of Finance, American Finance Association, vol. 27(3), pages 569-588, June.
    8. Hopewell, Michael H. & Schwartz, Arthur L., 1976. "Stock Price Movement Associated with Temporary Trading Suspensions: Bear Market versus Bull Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(4), pages 577-590, November.
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    Cited by:

    1. Roy A. Fletcher, 1993. "A Statistical Model Of Changes In Asset Prices Employing Intraday Data: A Recursive Approach," Review of Financial Economics, John Wiley & Sons, vol. 2(2), pages 43-58, March.

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