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THE OVER‐THE‐COUNTER MARKET AND NEW YORK STOCK EXCHANGE TRADING HALTS
Author(s) -
Fabozzi Frank J.,
Ma Christopher K.
Publication year - 1988
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1988.tb01279.x
Subject(s) - stock exchange , volatility (finance) , database transaction , financial economics , business , price discovery , algorithmic trading , monetary economics , market microstructure , stock market , market maker , open outcry , economics , transaction data , over the counter , alternative trading system , finance , order (exchange) , database , futures contract , paleontology , horse , computer science , biology , medicine , medical prescription , pharmacology
This paper examines the over‐the‐counter (OTC) market activities for stocks temporarily suspended by the New York Stock Exchange (NYSE). Unlike previous studies, we use transaction‐to‐transaction data on the NASDAQ during NYSE trading halts to investigate the price adjustment process between market equilibria. The evidence indicates that while being halted by the NYSE, the same stocks have exhibited significantly greater volatility in the OTC market. Since the volatile price movement is mainly random and provides no arbitraging opportunities for the OTC market traders, we do not find support for the proposal that trading halts should be mandatory for all trading locations.