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Intraday rallies and crashes : spillovers of trading halts
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Cui, Bei and Gozluklu, Arie E. (2016) Intraday rallies and crashes : spillovers of trading halts. International Journal of Finance and Economics, 21 (4). pp. 472-501. doi:10.1002/ijfe.1556 ISSN 1076-9307.
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Official URL: http://dx.doi.org/10.1002/ijfe.1556
Abstract
This paper analyses a set of intraday rally and crash events at the firm level during the single stock circuit breaker (SSCB) program, and documents the cross-sectional spillover effects of such events on non-halted stocks. We test whether such major price jumps, and subsequent trading halts, affect related stocks through the destabilizing arbitrage channel. We find that extreme price movements that trigger the circuit breakers at the firm level are accompanied by a massive surge in volume, spread and short-term volatility, which gradually revert back to normal. Speculative strategies of arbitrageurs such as momentum and pairs trading cause cross-sectional spillovers in volume and volatility during the trading halt.
Item Type: | Journal Article | ||||||||||
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Subjects: | H Social Sciences > HG Finance | ||||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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Library of Congress Subject Headings (LCSH): | Stock exchanges, Arbitrage, Pairs trading, Stocks | ||||||||||
Journal or Publication Title: | International Journal of Finance and Economics | ||||||||||
Publisher: | John Wiley & Sons Ltd. | ||||||||||
ISSN: | 1076-9307 | ||||||||||
Official Date: | October 2016 | ||||||||||
Dates: |
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Volume: | 21 | ||||||||||
Number: | 4 | ||||||||||
Page Range: | pp. 472-501 | ||||||||||
DOI: | 10.1002/ijfe.1556 | ||||||||||
Status: | Peer Reviewed | ||||||||||
Publication Status: | Published | ||||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||||
Date of first compliant deposit: | 16 May 2016 | ||||||||||
Date of first compliant Open Access: | 12 August 2018 |
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