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Price discovery around trading halts on the Montreal Exchange using trade‐by‐trade data
Author(s) -
Kryzanowski Lawrence,
Nemiroff Howard
Publication year - 1998
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.1540-6288.1998.tb01377.x
Subject(s) - price discovery , volatility (finance) , monetary economics , high frequency trading , economics , price formation , alternative trading system , algorithmic trading , open outcry , trading turret , financial economics , business , international economics , futures contract
This paper investigates the price discovery process around exchange‐initiated trading halts using 30 minute trade intervals on the Montreal Exchange. Trading halt price discovery, and regulatory and specialist effectiveness differ over the three time periods studied. Volatility and measures of trade activity increase significantly around trading halts, and return to lower levels in less than two days after the resumption of trading. The number of trades is a good measure of the information flow associated with informed trading pre‐halt and the price discovery process post‐halt.