NASDAQ Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs

46 Pages Posted: 20 Apr 2000

See all articles by William G. Christie

William G. Christie

Vanderbilt University - Finance; Vanderbilt University - Law School

Shane A. Corwin

University of Notre Dame - Mendoza College of Business

Jeffrey H. Harris

American University - Department of Finance and Real Estate

Date Written: February 2000

Abstract

We study the effects of alternative halt and reopening procedures on prices, transaction costs, and trading activity for a sample of news-related trading halts on Nasdaq. For intraday halts that reopen after only a five-minute quotation period, inside quoted spreads more than double following halts and volatility increases to more than nine times normal levels. In contrast, halts that reopen the following day with a longer 90-minute quotation period are associated with insignificant spread effects and significantly dampened volatility effects. These results are consistent with the hypothesis that increased information transmission during the halt results in reduced post-halt uncertainty.

JEL Classification: G12, G14

Suggested Citation

Christie, Wiliam G. and Corwin, Shane A. and Harris, Jeffrey H., NASDAQ Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs (February 2000). Available at SSRN: https://ssrn.com/abstract=217776 or http://dx.doi.org/10.2139/ssrn.217776

Wiliam G. Christie

Vanderbilt University - Finance ( email )

401 21st Avenue South
Owen Graduate School of Management
Nashville, TN 37203
United States
615-343-7802 (Phone)
615-343-7177 (Fax)

Vanderbilt University - Law School

131 21st Avenue South
Nashville, TN 37203-1181
United States

Shane A. Corwin (Contact Author)

University of Notre Dame - Mendoza College of Business ( email )

240 Mendoza College of Business
Notre Dame, IN 46556-0399
United States

Jeffrey H. Harris

American University - Department of Finance and Real Estate ( email )

Kogod School of Business
4400 Massachusetts Ave., N.W.
Washington, DC 20016-8044
United States
202-885-6669 (Phone)

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
359
Abstract Views
3,153
rank
90,107
PlumX Metrics