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Impact des interruptions de cotation sur la microstructure du marché boursier français

Author

Listed:
  • Karine Michalon

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

The purpose of the regulated interruptions of quotation on Stock exchange markets is to reduce asymmetries of information and volatility and to allow the emergence of a consensus. The use of these interruptions is very frequent on the French stock exchange market for the values included in the CAC 40, the SBF 120 and the SBF 250 indexes : one notes on average more than 7 interruptions per trading day. The frequency is all the more high as the values have weak market capitalizations. However, our empirical study emphasizes an inefficiency of the reservations of quotation. Indeed, the volatility of the prices is higher after reservation.

Suggested Citation

  • Karine Michalon, 2002. "Impact des interruptions de cotation sur la microstructure du marché boursier français," Post-Print halshs-00142776, HAL.
    • Handle: RePEc:hal:journl:halshs-00142776
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00142776
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    References listed on IDEAS

    as
    1. James Dow & Gary Gorton, "undated". "Self-Generating Trade and Rational Fads: The Response of Price to New Information," Rodney L. White Center for Financial Research Working Papers 03-90, Wharton School Rodney L. White Center for Financial Research.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    circuit breaker; trading halt; volatility; coupe-circuit; réservation; suspension; volatilité;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • G1 - Financial Economics - - General Financial Markets
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • G1 - Financial Economics - - General Financial Markets

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