When a Halt is Not a Halt: An Analysis of Off-NYSE Trading During NYSE Market Closures

45 Pages Posted: 20 Mar 2007 Last revised: 15 Jun 2011

See all articles by Bidisha Chakrabarty

Bidisha Chakrabarty

Saint Louis University - Richard A. Chaifetz School of Business

Shane A. Corwin

University of Notre Dame - Mendoza College of Business

Marios A. Panayides

University of Cyprus - Department of Accounting and Finance; University of Pittsburgh - Katz Graduate School of Business

Date Written: March 14, 2011

Abstract

Though trading halts are a common feature in securities markets, the issues associated with the coordination of these halts across markets are not well understood. In fact, regulations often allow traders to circumvent trading halts through the use of alternative venues. Using a sample of order imbalance delayed openings on the NYSE, we examine the costs and benefits of continued trading on alternative venues when the main market calls a halt. We find that trades routed to off-NYSE venues during NYSE halts are associated with significant price discovery and lead to an improved post-halt trading environment. In addition, limit orders routed through ECNs reflect price relevant information even prior to the halt, with limit book imbalances decreasing and depth filling in during the halt around the eventual reopening NYSE price. However, these informational benefits come at a substantial cost, as both execution costs and volatility are extremely high on off-NYSE venues during NYSE halts.

Keywords: Trading halt, Price discovery, Off-NYSE trading, ECN

JEL Classification: G10, G11, G14

Suggested Citation

Chakrabarty, Bidisha and Corwin, Shane A. and Panayides, Marios A., When a Halt is Not a Halt: An Analysis of Off-NYSE Trading During NYSE Market Closures (March 14, 2011). Journal of Financial Intermediation, Forthcoming, Available at SSRN: https://ssrn.com/abstract=972803

Bidisha Chakrabarty

Saint Louis University - Richard A. Chaifetz School of Business ( email )

3674 Lindell Blvd
St. Louis, MO MO 63108-3397
United States
3149773607 (Phone)
3149771479 (Fax)

HOME PAGE: http://business.slu.edu/departments/finance/faculty-staff/bidisha-chakrabarty

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

Marios A. Panayides

University of Cyprus - Department of Accounting and Finance ( email )

University of Cyprus
P.O. Box 20537
Nicosia, CY-1678
Cyprus

University of Pittsburgh - Katz Graduate School of Business ( email )

372 Mervis Hall
Pittsburgh, PA 15260
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
234
Abstract Views
1,307
rank
144,889
PlumX Metrics