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

世界各地的证券交易所提供了即时和连续交易证券的机会。自动化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。这些暂停交易是为了防止对相关公司信息发布的无序或不知情的反应。从业者和学者倾向于认为，停牌并不能很好地发挥这一作用。我们提出了一种新的方法，以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。

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.