Quelle est l'influence des interruptions de cotation sur la microstructure du marché boursier français ? Une analyse intraquotidienne en termes de rentabilité, volatilité et volume

Karine Michalon ()

Working Papers from HAL

Abstract: The purpose of the regulated halts on stock exchange markets is to spread the information on the market and to protect the interests of the small shareholders. The aim of this work is to empirically investigate the trading halts on the French stock exchange market. We proceed to a detailed statistical study in order to analyze the impact of such halts on the main market parameters. Our study concerns intraday data relating to securities that belong to the CAC40 stock index over the period January 1998-December 2001. Finally, we put forward a mitigated effectiveness of the trading halts, depending on the period.

Keywords: trading halt; trading suspension; high frequency data; volatility; réservation; suspension; données haute fréquence; volume; volatilité (search for similar items in EconPapers)
Date: 2007-04-22
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00142777v1
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