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
收藏
页码：378 / 403
页数：26
相关论文
共 50 条
  • [41] How profitable are FX technical trading rules?
    Coakley, Jerry
    Marzano, Michele
    Nankervis, John
    [J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2016, 45 : 273 - 282
  • [42] How to design greenhouse gas trading in the EU?
    Svendsen, GT
    Vesterdal, M
    [J]. ENERGY POLICY, 2003, 31 (14) : 1531 - 1539
  • [43] How (In) Efficient is After-Hours Trading?
    Raudys, Aistis
    Mohr, Esther
    Schmidt, Guenter
    [J]. PROCEEDINGS OF THE 2013 IEEE CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING & ECONOMICS (CIFER), 2013, : 27 - 33
  • [44] Bubbles in hybrid markets: How expectations about algorithmic trading affect human trading
    Farjam, Mike
    Kirchkamp, Oliver
    [J]. JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION, 2018, 146 : 248 - 269
  • [45] How Does High-Frequency Trading Affect Low-Frequency Trading?
    Li, Kun
    Cooper, Rick
    Van Vliet, Ben
    [J]. JOURNAL OF BEHAVIORAL FINANCE, 2018, 19 (02) : 235 - 248
  • [46] Surface pauses in relation to dive duration in imperial cormorants; how much time for a breather?
    Wilson, RP
    Quintana, F
    [J]. JOURNAL OF EXPERIMENTAL BIOLOGY, 2004, 207 (11): : 1789 - 1796
  • [47] EFFECTIVE DOSE - HOW EFFECTIVE FOR PATIENTS
    DREXLER, G
    PANZER, W
    PETOUSSI, N
    ZANKL, M
    [J]. RADIATION AND ENVIRONMENTAL BIOPHYSICS, 1993, 32 (03) : 209 - 219
  • [48] HOW EFFECTIVE ARE MORE EFFECTIVE SCHOOLS
    WRIGHTSTONE, JW
    [J]. JOURNAL OF EDUCATIONAL MEASUREMENT, 1968, 5 (04) : 291 - 295
  • [49] Pinning down an effective measure for probability of informed trading
    Petchey, James
    Wee, Marvin
    Yang, Joey
    [J]. PACIFIC-BASIN FINANCE JOURNAL, 2016, 40 : 456 - 475
  • [50] STOCK AND OPTION MARKETS - ARE INSIDER TRADING REGULATIONS EFFECTIVE
    CLEETON, DL
    REEDER, PA
    [J]. QUARTERLY REVIEW OF ECONOMICS AND BUSINESS, 1987, 27 (01): : 63 - 76
12345