Order Flow and Liquidity around NYSE Trading Halts

Shane A. Corwin and Marc L. Lipson

Journal of Finance, 2000, vol. 55, issue 4, 1771-1801

Abstract: We study order flow and liquidity around NYSE trading halts. We find that market and limit order submissions and cancellations increase significantly during trading halts, that a large proportion of the limit order book at the reopen is composed of orders submitted during the halt, and that the market‐clearing price at the reopen is a good predictor of future prices. Depth near the quotes is unusually low around trading halts, though specialists and/or floor traders appear to provide additional liquidity at these times. Finally, specialists appear to “spread the quote” prior to imbalance halts to convey information to market participants.

Date: 2000
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