When Markets Fail: A Comparative Assessment of Costs and Benefits of Trade Interruption

当市场失灵时：贸易中断的成本和收益的比较评估

• 批准号: DP0344335
• 负责人: Prof Dr Paul Kofman
• 金额: $ 7.67万
• 依托单位: The University of Melbourne
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2003
• 资助国家: 澳大利亚
• 起止时间: 2003-01-07 至 2006-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0344335
• 关键词: When; Markets; Fail; Comparative; Assessment

Stock exchanges worldwide provide the opportunity to instantaneously and continuously trade securities. The introduction of automated trading systems has considerably enhanced this opportunity. Surprisingly, exchanges still have (and use) the discretion to occasionally suspend trading in certain stocks. These trading halts are used to prevent a disorderly or uninformed response to pertinent company information releases. Practitioners and academics tend to believe that trading halts do not serve this role well. We propose a new methodology to more accurately measure the costs and benefits of trade suspensions. We compare their impact on different trading systems, and evaluate their intertemporal performance.

世界各地的证券交易所提供了即时和持续交易证券的机会。自动交易系统的引入大大增加了这一机会。令人惊讶的是，交易所仍然拥有（并使用）偶尔暂停某些股票交易的自由裁量权。这些交易暂停是用来防止对相关公司信息发布的无序或不知情的反应。从业者和学者往往认为，暂停交易不能很好地发挥这一作用。我们提出了一种新的方法来更准确地衡量贸易暂停的成本和收益。我们比较了它们对不同交易系统的影响，并评估了它们的跨期表现。