TY  - UNPD
A1  - Hautsch, Nikolaus
A1  - Horváth, Ákos
T1  - How effective are trading pauses?
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 571
N2  - 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.
T3  - CFS working paper series - 571 
KW  - trading pause
KW  - "magnet effect"
KW  - price discovery
KW  - volatility
KW  - liquidity
Y1  - 2017
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/43161
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-431613
UR  - https://www.ifk-cfs.de/fileadmin/downloads/publications/wp/2017/CFS_WP_571.pdf
N1  - First Draft: February 2015 ; This Draft: April 2017
IS  - This Draft: April 2017
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -