Abstract

http://ssrn.com/abstract=2379029
 


 



The Cross-Sectional Spillovers of Single Stock Circuit Breakers


James A Brugler


University of Melbourne - Department of Finance

Oliver B. Linton


University of Cambridge

February 22, 2016


Abstract:     
This paper uses transaction data to estimate the effect of single stock circuit breakers on other stocks that remain in continuous trading (the “spillover effect”). We find that circuit breakers lead to significant trading, volatility and price spillovers for stocks that remain in continuous trading and that this is driven primarily by traders hedging against further mark-to-market losses in the suspended stock. The effect is stronger when market-wide volatility is relatively high, however when stock prices are highly correlated, circuit breakers play a more beneficial role.

Number of Pages in PDF File: 41

Keywords: Circuit breakers, market microstructure, market quality

JEL Classification: G12, G14, G15, G18


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Date posted: January 15, 2014 ; Last revised: February 27, 2016

Suggested Citation

Brugler, James A and Linton, Oliver B., The Cross-Sectional Spillovers of Single Stock Circuit Breakers (February 22, 2016). Available at SSRN: http://ssrn.com/abstract=2379029 or http://dx.doi.org/10.2139/ssrn.2379029

Contact Information

James A Brugler (Contact Author)
University of Melbourne - Department of Finance ( email )
Faculty of Business and Economics
Parkville, Victoria 3010 3010
Australia
Oliver B. Linton
University of Cambridge ( email )
Faculty of Economics
Cambridge, CB3 9DD
United Kingdom
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