Order Flow and Liquidity around NYSE Trading Halts
- Full Text PDF
- Author(s): Shane A. Corwin, Marc L. Lipson
- Published: Dec 17, 2002
- Pages: 1771-1805
- DOI: 10.1111/0022-1082.00267
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.