학회소식
[2004년 제 2차] Trading Halts or Price Limits: Which is Better?
작성자 : 관리자
조회수 : 1050
게시일 :
2004-05-25
We compare the relative performance of trading halts to price limits using market data. According to our evidence, trading activity increases after both mechanisms. Volatility stays the same after trading halts but increases after price limits. Our evidence also shows that the bid-ask spread is narrower after trading halts but wider after price limits. Information is efficiently reflected in stock prices once trading resumes after trading halts, but there is evidence of market overreaction for upper price limits. Overall, our result is consistent with Subrahmanyam (1995); trading halts seem to perform better than price limits in achieving their intended goals.
