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- Title
Order Flow and Liquidity around NYSE Trading Halts.
- Authors
Corwin, Shane A.; Lipson, Marc L.
- Abstract
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.
- Subjects
UNITED States; ORDER flow (Securities); LIQUIDITY (Economics); NEW York Stock Exchange; SECURITIES trading; FINANCIAL markets; LIMIT orders; MARKET orders; STOCK prices; STOCK price forecasting; FLOOR traders (Finance); SPREAD (Finance)
- Publication
Journal of Finance (Wiley-Blackwell), 2000, Vol 55, Issue 4, p1771
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/0022-1082.00267