TY - JOUR
T1 - The effect of trading halts on the speed of price discovery
AU - Hauser, Shmuel
AU - Kedar-Levy, Haim
AU - Pilo, Batia
AU - Shurki, Itzhak
PY - 2006/2
Y1 - 2006/2
N2 - Trading halts are aimed at reducing information asymmetry by granting investors the opportunity to reassess trades upon arrival of new, substantial information. This study is the first to address the efficiency of the price discovery process with respect to time, i.e., the speed of adjustment to new information. A unique database allow us to conduct an event study analysis and measure the impact of trading halts on price discovery while controlling for content, operational and value effects. We find that information dissemination following trading halts is over 40% faster and that abnormal trading activity is positively related to the speed of price adjustment.
AB - Trading halts are aimed at reducing information asymmetry by granting investors the opportunity to reassess trades upon arrival of new, substantial information. This study is the first to address the efficiency of the price discovery process with respect to time, i.e., the speed of adjustment to new information. A unique database allow us to conduct an event study analysis and measure the impact of trading halts on price discovery while controlling for content, operational and value effects. We find that information dissemination following trading halts is over 40% faster and that abnormal trading activity is positively related to the speed of price adjustment.
KW - Market efficiency
KW - Speed of price discovery
KW - Trading halts
UR - http://www.scopus.com/inward/record.url?scp=31144476714&partnerID=8YFLogxK
U2 - 10.1007/s10693-005-5109-0
DO - 10.1007/s10693-005-5109-0
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AN - SCOPUS:31144476714
SN - 0920-8550
VL - 29
SP - 83
EP - 99
JO - Journal of Financial Services Research
JF - Journal of Financial Services Research
IS - 1
ER -