Order Flow and Liquidity around NYSE Trading Halts | Zendy

Corwin Shane A. | Zendy; Lipson Marc L. | Zendy

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Order Flow and Liquidity around NYSE Trading Halts

Author(s) -

Corwin Shane A.,

Lipson Marc L.

Publication year - 2000

Publication title -

the journal of finance

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 18.151

H-Index - 299

eISSN - 1540-6261

pISSN - 0022-1082

DOI - 10.1111/0022-1082.00267

Subject(s) - market liquidity , order (exchange) , clearing , dark liquidity , monetary economics , limit (mathematics) , economics , financial economics , market maker , price formation , business , high frequency trading , finance , mathematics , geography , mathematical analysis , context (archaeology) , archaeology , stock market

We study order flow and liquidity around NYSE trading halts. We find that market and limit order submissions and cancellations increase significantly during trading halts, that a large proportion of the limit order book at the reopen is composed of orders submitted during the halt, and that the market‐clearing price at the reopen is a good predictor of future prices. Depth near the quotes is unusually low around trading halts, though specialists and/or floor traders appear to provide additional liquidity at these times. Finally, specialists appear to “spread the quote” prior to imbalance halts to convey information to market participants.

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