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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.