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Autoren: 
Hautsch, Nikolaus
Horvath, Akos
Datum: 
2017
Reihe/Nr.: 
CFS Working Paper Series 571
Zusammenfassung: 
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.
Schlagwörter: 
trading pause
"magnet effect"
price discovery
volatility
liquidity
JEL: 
G10
G14
G18
Dokumentart: 
Working Paper

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