Volume, Volatility, and New York Stock Exchange Trading Halts

Charles Lee, Mark Ready () and Paul J Seguin

Journal of Finance, 1994, vol. 49, issue 1, 183-214

Abstract: Trading halts increase, rather than reduce, both volume and volatility. Volume (volatility) in the first full trading day after a trading halt is 230 percent (50 to 115 percent) higher than following 'pseudohalts': nonhalt control periods matched on time of day, duration, and absolute net-of-market returns. These results are robust over different halt types and news categories. Higher posthalt volume is observed into the third day, while higher posthalt volatility decays within hours. The extent of media coverage is a partial determinant of volume and volatility following both halts and pseudohalts but a separate halt effect remains after controlling for the media effect. Copyright 1994 by American Finance Association.

Date: 1994
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