Share price and trading volume behaviour around trading suspensions

This paper examines daily share price and daily trading volume behaviour associated with a sample of trading suspensions on the Amsterdam Stock Exchange. Our results indicate that suspensions are associated with significant price changes, and are neither preceded by any anticipatory price-behaviour, nor followed by significant abnormal returns. These suggest that new information is disclosed during the suspension period, and the nearly complete impact of information release takes place instantaneously. We also observe an increase in trading volume with the occurrence of suspension. This reinforces the evidence of significant information release during trading suspensions on the Amsterdam Stock Exchange. I i " •