Abstract
Trading halts are aimed at reducing information asymmetry by granting investors the opportunity to reassess trades upon arrival of new, substantial information. This study is the first to address the efficiency of the price discovery process with respect to time, i.e., the speed of adjustment to new information. A unique database allow us to conduct an event study analysis and measure the impact of trading halts on price discovery while controlling for content, operational and value effects. We find that information dissemination following trading halts is over 40% faster and that abnormal trading activity is positively related to the speed of price adjustment.
| Original language | English |
|---|---|
| Pages (from-to) | 83-99 |
| Number of pages | 17 |
| Journal | Journal of Financial Services Research |
| Volume | 29 |
| Issue number | 1 |
| DOIs | |
| State | Published - 1 Feb 2006 |
Keywords
- Market efficiency
- Speed of price discovery
- Trading halts
ASJC Scopus subject areas
- Accounting
- Finance
- Economics and Econometrics