How effective are trading pauses?

被引：18

作者：

Hautsch, Nikolaus ^{[1
,2
,3
,4
]}

Horvath, Akos ^{[1
,3
]}

机构：

[1] Univ Vienna, Dept Stat & Operat Res, Oskar Morgenstem Pl 1, A-7090 Vienna, Austria

[2] Res Platform Data Sci Uni Vienna, Vienna, Austria

[3] Vienna Grad Sch Finance, Vienna, Austria

[4] Ctr Financial Studies, Frankfurt, Germany

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2019年 / 131卷 / 02期

关键词：

Trading pause; Magnet effect; Price discovery; Volatility; Liquidity; MECHANISMS; VOLATILITY; VOLUME;

D O I：

10.1016/j.jfineco.2017.12.011

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Exploiting Nasdaq order book data and difference-in-differences methodology, we identify the distinct effects of trading pause mechanisms introduced on US stock exchanges after May 2010. We show that the mere existence of such a regulation makes market participants behave differently in anticipation of a pause. Pauses enhance price discovery during the break but have adverse effects on price stability and liquidity after the pause. We find that pauses ultimately do not "cool off" markets but cause extra volatility. This implies a regulatory trade-off between the protective role of trading pauses and their adverse effects on market quality. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：378 / 403

页数：26

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