Volume, Volatility, and New York Stock Exchange Trading Halts
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- Author(s): CHARLES M. C. LEE, MARK J. READY, PAUL J. SEGUIN
- Published: Apr 30, 2012
- Pages: 183-214
- DOI: 10.1111/j.1540-6261.1994.tb04425.x
Trading halts increase, rather than reduce, both volume and volatility. Volume (volatility) in the first full trading day after a trading halt is 230 percent (50 to 115 percent) higher than following “pseudohalts”: nonhalt control periods matched on time of day, duration, and absolute net‐of‐market returns. These results are robust over different halt types and news categories. Higher posthalt volume is observed into the third day while higher posthalt volatility decays within hours. The extent of media coverage is a partial determinant of volume and volatility following both halts and pseudohalts, but a separate halt effect remains after controlling for the media effect.