Price Discovery around Trading Halts on the Montreal Exchange Using Trade-by-Trade Data

Lawrence Kryzanowski and Howard Nemiroff

The Financial Review, 1998, vol. 33, issue 2, 195-212

Abstract: 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 regulatory and specialist effectiveness differ over the three time periods studied. Volatility and measures of trade activity increase significantly around trading halts, and return to lower levels in less than two days after the resumption of trading. The number of trades is a good measure of the information flow associated with informed trading pre-halt and the price discovery process post-halt. Copyright 1998 by MIT Press.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:33:y:1998:i:2:p:195-212

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