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The impact of trading halts on liquidity and price volatility: Evidence from the Australian Stock Exchange
16 references·4 citing·47 second hop
The impact of trading halts on liquidity and price volatility: Evidence from the Australian Stock Exchange (2011)The impact of trading halts on liquidity …Relative performance of trading halts and price limits: Evidence from the Spanish Stock Exchange (2007)Relative performance of tradi…Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs (2002)Nasdaq Trading Halts: The Imp…Commonality in Liquidity: Evidence from an Order‐Driven Market Structure (2002)Commonality in Liquidity: Evi…Order Flow and Liquidity around NYSE Trading Halts (2000)Order Flow and Liquidity arou…An empirical analysis of NYSE specialist trading1We thank Jim Cochrane, Joel Hasbrouck, Don Keim, Kim Shapiro, Jerry Warner, and an anonymous referee for their helpful comments. Seminar participants at the Ohio State Conference on `Dealer Markets', London School of Economics, University of Pennsylvania, and University of Wisconsion provided many helpful suggestions. Minder Cheng, Nicole Parent, and Ed Steffelin provided excellent research support. This research was completed while Madhavan was visiting the New York Stock Exchange. The comments and opinions contained in this paper are those of the authors and do not necessarily reflect those of the directors, members or officers of the New York Stock Exchange, Inc.1 (1998)An empirical analysis of NYSE…Price Limit Performance: Evidence from the Tokyo Stock Exchange (1997)Price Limit Performance: Evid…The accuracy of the tick test: Evidence from the Australian stock exchange (1996)The accuracy of the tick test…Volume, Volatility, and New York Stock Exchange Trading Halts (1994)Volume, Volatility, and New Y…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…Price Experimentation and Security Market Structure (1993)Price Experimentation and Sec…An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…Trade and the Revelation of Information through Prices and Direct Disclosure (1989)Trade and the Revelation of I…On Technical Analysis (1989)On Technical AnalysisInferring the Components of the Bid-Ask Spread: Theory and Empirical Tests (1989)Inferring the Components of t…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…The Efficacy of Trading Suspensions: A Regulatory Action Designed to Prevent the Exploitation of Monopoly Information (1979)The Efficacy of Trading Suspe…Investor sentiment and stock market anomalies in Australia (2023)Investor sentiment and stock …Bitcoin as an Investment and Hedge Alternative. A DCC MGARCH Model Analysis (2021)Bitcoin as an Investment and …Circuit breakers as market stability levers: A survey of research, praxis, and challenges (2018)Circuit breakers as market st…An empirical analysis of algorithmic trading around earnings announcements (2016)An empirical analysis of algo…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Inferring Trade Direction from Intraday Data (1991)Measuring the Information Content of Stock Trades (1991)A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data (2000)Dynamic Volume-Return Relation of Individual Stocks (2000)Liquidity provision and specialist trading in NYSE-listed non-U.S. stocks (2002)The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Limits of arbitrage and idiosyncratic volatility: Evidence from China stock market (2016)Daily price limits and destructive market behavior (2018)Pandemic-Related Financial Market Volatility Spillovers: Evidence from the Chinese COVID-19 Epicentre (2020)Liquidity, Information, and Infrequently Traded Stocks (1996)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Liquidity commonality and return co-movement (2005)Option market liquidity: Commonality and other characteristics (2009)Market liquidity in the financial crisis: The role of liquidity commonality and flight-to-quality (2013)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)An ordered probit analysis of transaction stock prices (1990)Trade size, order imbalance, and the volatility–volume relation (2000)Can ChatGPT forecast stock price movements? Return predictability and large language models (2026)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Differential Information and Dynamic Behavior of Stock Trading Volume (1995)Evidence on the speed of convergence to market efficiency (2005)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)Continuous Auctions and Insider Trading (1985)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Role of Dissemination in Market Liquidity: Evidence from Firms' Use of Twitter™ (2013)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Price, trade size, and information in securities markets (1987)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)The Cost of Transacting (1968)Stock returns and the weekend effect (1980)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Order flow composition and trading costs in a dynamic limit order market (1999)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Differences of Opinion Make a Horse Race (1993)The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange (2003)Market structure, fragmentation, and market quality (2006)
this work references cited by second hop

References

  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests949 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 1989On Technical Analysis499 cited
  • 1989Trade and the Revelation of Information through Prices and Direct Disclosure422 cited
  • 1997Price Limit Performance: Evidence from the Tokyo Stock Exchange377 cited
  • 1998An empirical analysis of NYSE specialist trading1We thank Jim Cochrane, Joel Hasbrouck, Don Keim, Kim Shapiro, Jerry Warner, and an anonymous referee for their helpful comments. Seminar participants at the Ohio State Conference on `Dealer Markets', London School of Economics, University of Pennsylvania, and University of Wisconsion provided many helpful suggestions. Minder Cheng, Nicole Parent, and Ed Steffelin provided excellent research support. This research was completed while Madhavan was visiting the New York Stock Exchange. The comments and opinions contained in this paper are those of the authors and do not necessarily reflect those of the directors, members or officers of the New York Stock Exchange, Inc.1214 cited
  • 1994Volume, Volatility, and New York Stock Exchange Trading Halts178 cited
  • 2002Commonality in Liquidity: Evidence from an Order‐Driven Market Structure170 cited
  • 2000Order Flow and Liquidity around NYSE Trading Halts158 cited
  • 2002Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs

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125 cited
  • 1993Price Experimentation and Security Market Structure116 cited
  • 1996The accuracy of the tick test: Evidence from the Australian stock exchange92 cited
  • 2007Relative performance of trading halts and price limits: Evidence from the Spanish Stock Exchange57 cited
  • 1979The Efficacy of Trading Suspensions: A Regulatory Action Designed to Prevent the Exploitation of Monopoly Information48 cited
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    • 2021Bitcoin as an Investment and Hedge Alternative. A DCC MGARCH Model Analysis30 cited
    • 2018Circuit breakers as market stability levers: A survey of research, praxis, and challenges27 cited
    • 2016An empirical analysis of algorithmic trading around earnings announcements25 cited
    • 2023Investor sentiment and stock market anomalies in Australia24 cited