Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/157954
Authors: 
Hautsch, Nikolaus
Horvath, Akos
Year of Publication: 
2017
Series/Report no.: 
CFS Working Paper Series 571
Abstract: 
Exploiting NASDAQ order book data and difference-in-differences methodology, we identify the distinct effects of trading pause mechanisms introduced on U.S. stock exchanges after May 2010. We show that the mere existence of such a regulation constitutes a safeguard which makes market participants behave differently in anticipation of a pause. Pauses tend to break local price trends, make liquidity suppliers revise positions, and enhance price discovery. In contrast, pauses do not have a "cool off" effect on markets, but rather accelerate volatility and bid-ask spreads. This implies a regulatory trade-off between the protective role of trading pauses and their adverse effects on market quality.
Subjects: 
trading pause
"magnet effect"
price discovery
volatility
liquidity
JEL: 
G10
G14
G18
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.