Corpus ID: 167791459

The Effectiveness of Trading Halts and Investor Trading Performance: An Intraday Analysis on the Stock Exchange of Thailand

@inproceedings{Charoenwong2009TheEO,
  title={The Effectiveness of Trading Halts and Investor Trading Performance: An Intraday Analysis on the Stock Exchange of Thailand},
  author={C. Charoenwong and C. Chiyachantana},
  year={2009}
}
This paper examines the effectiveness of trading halts using trade-by-trade data provided by the Stock Exchange of Thailand between January 1999 and December 2007. The transaction data enables us to closely analyze return, volatility and trading activities around the halts. This study also investigates trade performance of different types of investors around trading halts. Our results suggest that trading halts are efficient in maintaining stability and an orderly trading in the market. Trading… Expand
Holiday Effect in Stock Exchange of Thailand from January 1992 - August 2013
This study examines the holiday effect in the Stock Exchange of Thailand (SET) which includes both long and short holidays on different market timing. Moreover, we also observe the pattern of tradingExpand
Circuit breakers as market stability levers: A survey of research, praxis, and challenges
Circuit breaker, an automated regulatory instrument employed to deter panic, temper volatility, and prevent crashes, is controversial in financial markets. Proponents claim it provides a propitiousExpand

References

SHOWING 1-10 OF 38 REFERENCES
Trading Halts and the Advantage of Institutional Investors: Evidence from the Istanbul Stock Exchange
Firm-specific trading halts have become a common practice in many international stock markets during the last two decades. However, the effects and effectiveness of trading halts remain controversialExpand
Relative Performance between Trading Halts and Price Limits: Evidence from the Spanish Stock Exchange
We study the relative performance of trading halts and price limits using data from the Spanish Stock Exchange where both mechanisms have coexisted. According to our evidence, trading activityExpand
Price discovery around trading halts on the Montreal Exchange using trade-by-trade data
This paper investigates the price discovery process around exchange-initiated trading halts using thirty minute trade intervals on the Montreal Exchange. Trading halt price discovery, and regulatoryExpand
New York Stock Exchange trading halts and volatility
Abstract This study compares the volatility after NYSE's trading halts with the volatility after pseudo-halts. Every pseudo-halt is a period of continuous trading matching the corresponding tradingExpand
Empirical Evidence on the Role of Trading Suspensions in Disseminating New Information to the Capital Market
TLDR
The results show that suspension is indeed an effective means of disseminating new information and confirms the efficacy of trading suspensions in dissemination of new information. Expand
Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close
This paper analyzes how the daily opening and closing of financial markets affect trading volume. We model the desire to trade at the beginning and end of the day as a function of overnight returnExpand
The ex ante effects of trade halting rules on informed trading strategies and market liquidity
Abstract In this paper, we investigate strategic informed trading in a regime with rule-based market closures. Closure rules can be designed to reduce the ex ante trading costs of liquidity tradersExpand
Market Quote and Spread Component Cost Behavior Around Trading Halts for Stocks Interlisted on the Montreal and Toronto Stock Exchanges
We use intraday quotes and transactions on halted securities that interlisted on the Toronto Stock Exchange and Montreal Exchange to decompose the spreads and examine quote depths. Our results showExpand
A Theory of Intraday Patterns: Volume and Price Variability
This article develops a theory in which concentrated-trading patterns arise endogenously as a result of the strategic behavior of liquidity traders and informed traders. Our results provide a partialExpand
NASDAQ Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs
We study the effects of alternative halt and reopening procedures on prices, transaction costs, and trading activity for a sample of news-related trading halts on Nasdaq. For intraday halts thatExpand
...
1
2
3
4
...