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Order Flow and Liquidity around NYSE Trading Halts

Citations

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Cited by:

  1. David Abad & Roberto Pascual, 2010. "Switching To A Temporary Call Auction In Times Of High Uncertainty," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(1), pages 45-75, March.
  2. Clapham, Benjamin & Gomber, Peter & Haferkorn, Martin & Panz, Sven, 2017. "Managing excess volatility: Design and effectiveness of circuit breakers," SAFE Working Paper Series 195, Leibniz Institute for Financial Research SAFE.
  3. Pawan Jain & Mohamed Mekhaimer & Ronald W. Spahr & Mark A. Sunderman, 2024. "Freedom of choice impact on country-specific liquidity commonality," Review of Quantitative Finance and Accounting, Springer, vol. 63(1), pages 265-309, July.
  4. Battalio, Robert & Ellul, Andrew & Jennings, Robert, 2005. "Reputation effects in trading on the New York Stock Exchange," LSE Research Online Documents on Economics 24659, London School of Economics and Political Science, LSE Library.
  5. Coskun, Yener & Cetin, Muge, 2018. "Menkul Kiymet Borsalarinda Pi̇yasa Mi̇kro Yapisi: Tasarim Ve Ri̇skler [STOCK EXCHANGE MICROSTRUCTURE: DESIGN and RISKS]," MPRA Paper 105590, University Library of Munich, Germany.
  6. Jiang, Christine & McInish, Thomas & Upson, James, 2009. "The information content of trading halts," Journal of Financial Markets, Elsevier, vol. 12(4), pages 703-726, November.
  7. Krishna Reddy & Rudi Bosman & Nawazish Mirza, 2019. "Impact Of Credit Ratings On Stock Returns," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(3), pages 343-366, January.
  8. Farag, Hisham, 2013. "Price limit bands, asymmetric volatility and stock market anomalies: Evidence from emerging markets," Global Finance Journal, Elsevier, vol. 24(1), pages 85-97.
  9. Matthew Clifton, 2010. "Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and Expiration-Day Procedures on the London Stock Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2010, January-A.
  10. William G. Christie & Shane A. Corwin & Jeffrey H. Harris, 2002. "Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs," Journal of Finance, American Finance Association, vol. 57(3), pages 1443-1478, June.
  11. Carlos Castro & Diego Agudelo & Sergio Preciado, 2017. "Measuring the effectiveness of volatility call auctions," Documentos de Trabajo 15498, Universidad del Rosario.
  12. Juan C. Reboredo, 2012. "The switch from continuous to call auction trading in response to a large intraday price movement," Applied Economics, Taylor & Francis Journals, vol. 44(8), pages 945-967, March.
  13. Kavajecz, Kenneth A. & Odders-White, Elizabeth R., 2001. "Volatility and market structure," Journal of Financial Markets, Elsevier, vol. 4(4), pages 359-384, October.
  14. Asani Sarkar & Robert A. Schwartz, 2006. "Two-sided markets and intertemporal trade clustering: insights into trading motives," Staff Reports 246, Federal Reserve Bank of New York.
  15. Abdelhamid El Bouhadi, 2003. "Conditional Volatility Of Most Active Shares Of Casablanca Stock Exchange," Finance 0305007, University Library of Munich, Germany, revised 02 Feb 2004.
  16. Griffith, Todd & Clancey-Shang, Danjue, 2023. "Cryptocurrency regulation and market quality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  17. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
  18. Clapham, Benjamin & Gomber, Peter & Haferkorn, Martin & Jentsch, Paul & Panz, Sven, 2018. "Circuit breakers: A survey among international trading venues," SAFE Working Paper Series 197, Leibniz Institute for Financial Research SAFE.
  19. Hall, Anthony D. & Hautsch, Nikolaus, 2007. "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, vol. 10(3), pages 249-286, August.
  20. Jos, van Bommel, 2011. "Measuring price discovery: The variance ratio, the R2, and the weighted price contribution," Finance Research Letters, Elsevier, vol. 8(3), pages 112-119, September.
  21. PASCUAL, Roberto & VEREDAS, David, 2004. "What pieces of limit order book information are informative ?," LIDAM Discussion Papers CORE 2004033, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  22. Bailey, Warren & Cai, Jun & Cheung, Yan Leung & Wang, Fenghua, 2009. "Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China," Journal of Banking & Finance, Elsevier, vol. 33(1), pages 9-19, January.
  23. Castro, Carlos & Agudelo, Diego A. & Preciado, Sergio, 2020. "Measuring the effectiveness of volatility auctions," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 566-581.
  24. Fishe, Raymond P. H. & Robe, Michel A., 2004. "The impact of illegal insider trading in dealer and specialist markets: evidence from a natural experiment," Journal of Financial Economics, Elsevier, vol. 71(3), pages 461-488, March.
  25. McDonald, Cynthia G. & Michayluk, David, 2003. "Suspicious trading halts," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 251-263, July.
  26. Chan, Soon Huat & Kim, Kenneth A. & Rhee, S. Ghon, 2005. "Price limit performance: evidence from transactions data and the limit order book," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 269-290, March.
  27. Kim, Yong H. & Yagüe, José & Yang, J. Jimmy, 2008. "Relative performance of trading halts and price limits: Evidence from the Spanish Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 197-215.
  28. Jurich, Stephen N. & Mishra, Ajay Kumar & Parikh, Bhavik, 2020. "Indecisive algos: Do limit order revisions increase market load?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 28(C).
  29. 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.
  30. Wang, Steven Shuye & Xu, Kuan & Zhang, Hao, 2019. "A microstructure study of circuit breakers in the Chinese stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  31. James Brugler & Oliver Linton, 2014. "Circuit Breakers on the London Stock Exchange: Do they improve subsequent market quality?," Cambridge Working Papers in Economics 1453, Faculty of Economics, University of Cambridge.
  32. Jacopo Magnani & David Munro, 2020. "Dynamic runs and circuit breakers: an experiment," Experimental Economics, Springer;Economic Science Association, vol. 23(1), pages 127-153, March.
  33. Xu, Hai-Chuan & Zhang, Wei & Liu, Yi-Fang, 2014. "Short-term market reaction after trading halts in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 103-111.
  34. Kim, Yong H. & Yang, J. Jimmy, 2008. "The effect of price limits on intraday volatility and information asymmetry," Pacific-Basin Finance Journal, Elsevier, vol. 16(5), pages 522-538, November.
  35. Yong H. Kim & J. Jimmy Yang, 2004. "What Makes Circuit Breakers Attractive to Financial Markets? A Survey," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 13(3), pages 109-146, August.
  36. Matthew Clifton, 2010. "Liquidity and Efficiency During Unusual Market Conditions: An Analysis of Short Selling Restrictions and Expiration-Day Procedures on the London Stock Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 14, July-Dece.
  37. Du, Yan & Liu, Qianqiu & Rhee, S. Ghon, 2006. "An Anatomy of the Magnet Effect: Evidence from the Korea Stock Exchange High-Frequency Data," CEI Working Paper Series 2005-17, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
  38. Roberto Pascual & Alvaro Escribano & Mikel Tapia, 2004. "On the bi-dimensionality of liquidity," The European Journal of Finance, Taylor & Francis Journals, vol. 10(6), pages 542-566.
  39. Hautsch, Nikolaus & Horvath, Akos, 2019. "How effective are trading pauses?," Journal of Financial Economics, Elsevier, vol. 131(2), pages 378-403.
  40. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
  41. Maloney, Michael T. & Mulherin, J. Harold, 2003. "The complexity of price discovery in an efficient market: the stock market reaction to the Challenger crash," Journal of Corporate Finance, Elsevier, vol. 9(4), pages 453-479, September.
  42. Chakrabarty, Bidisha & Shaw, Kenneth W., 2012. "Eliminating the 20-F reconciliation from IFRS to U.S. GAAP: Short-term and long-term liquidity effects," Research in Accounting Regulation, Elsevier, vol. 24(2), pages 90-95.
  43. Pascual, Roberto, 2000. "Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context," UC3M Working papers. Economics 7276, Universidad Carlos III de Madrid. Departamento de Economía.
  44. James Brugler & Oliver Linton, 2014. "Single stock circuit breakers on the London Stock Exchange: do they improve subsequent market quality?," CeMMAP working papers CWP07/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  45. Goldstein, Michael A. & Kavajecz, Kenneth A., 2004. "Trading strategies during circuit breakers and extreme market movements," Journal of Financial Markets, Elsevier, vol. 7(3), pages 301-333, June.
  46. Chakrabarty, Bidisha & Seetharaman, Ananth & Wang, Weimin, 2014. "Institutional versus retail trades following financial restatements: The effect of Sarbanes-Oxley," Research in Accounting Regulation, Elsevier, vol. 26(1), pages 12-25.
  47. Shmuel Hauser & Haim Kedar-Levy & Batia Pilo & Itzhak Shurki, 2006. "The Effect of Trading Halts on the Speed of Price Discovery," Journal of Financial Services Research, Springer;Western Finance Association, vol. 29(1), pages 83-99, February.
  48. Bacidore, Jeffrey M. & Battalio, Robert H. & Jennings, Robert H., 2002. "Depth improvement and adjusted price improvement on the New York stock exchange," Journal of Financial Markets, Elsevier, vol. 5(2), pages 169-195, April.
  49. Jared F. Egginton & Bonnie F. Ness & Robert A. Ness, 2016. "Dealers and changing obligations: the case of stub quoting," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 919-941, November.
  50. Frino, Alex & Prodromou, Tina & Wang, George H.K. & Westerholm, P. Joakim & Zheng, Hui, 2017. "An empirical analysis of algorithmic trading around earnings announcements," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 34-51.
  51. Chakrabarty, Bidisha & Corwin, Shane A. & Panayides, Marios A., 2011. "When a halt is not a halt: An analysis of off-NYSE trading during NYSE market closures," Journal of Financial Intermediation, Elsevier, vol. 20(3), pages 361-386, July.
  52. Chordia, Tarun & Shivakumar, L & Subrahmanyam, Avanidhar, 2000. "Liquidity Dynamics Across Small and Large Firms," University of California at Los Angeles, Anderson Graduate School of Management qt2zs4b4j4, Anderson Graduate School of Management, UCLA.
  53. Zhang, Xinyue & Bissoondoyal-Bheenick, Emawtee & Zhong, Angel, 2023. "Investor sentiment and stock market anomalies in Australia," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 284-303.
  54. 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.
  55. Hui Chen & Anton Petukhov & Jiang Wang & Hao Xing, 2024. "The Dark Side of Circuit Breakers," Journal of Finance, American Finance Association, vol. 79(2), pages 1405-1455, April.
  56. Qi, Qingyu & Uchida, Konari & Liu, Jianlei, 2024. "Do stock swap bidders suspend their stock trading? Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
  57. Farag, Hisham, 2014. "The effectiveness of competing regulatory regimes and the switching effects: Evidence from an emerging market," Global Finance Journal, Elsevier, vol. 25(2), pages 136-147.
  58. Frino, Alex & Lecce, Steven & Segara, Reuben, 2011. "The impact of trading halts on liquidity and price volatility: Evidence from the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 19(3), pages 298-307, June.
  59. Liu, Wai-Man, 2009. "Monitoring and limit order submission risks," Journal of Financial Markets, Elsevier, vol. 12(1), pages 107-141, February.
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