Anatomy of a market failure: NYSE trading suspensions (1974-1988)

Journal of Business and Economic Statistics

Volumn 16, Issue 2, 1998, Pages 216-226

  Bhattacharya, Uttpal ^a   Spiegel, Matthew ^b  

^a INDIANA UNIVERSITY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Adverse selection; Inventory control; Liquidity; Market resiliency; Trading halts

Indexed keywords

EID: 0032351590     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1998.10524755     Document Type: Article

References (20)

1. Bhattacharya, U., and Spiegel, M. (1991), “Insiders, Outsiders, and Market Breakdowns,” Review of Financial Studies, 4, 255-282.
2. Brennan, M. (1986), “A Theory of Price Limits in Futures Markets,” Journal of Financial Economics, 16, 213-233.
3. Edmister, R. Q., and James, C. (1983), “Is Illiquidity a Bar to Buying Small Cap Stocks?” Journal of Portfolio Management, 9, 14-19.
4. Glosten, L. R. (1989), “Insider Trading, Liquidity, and the Role of the Monopolist Specialist,” Journal of Business, 62, 211-235.
5. Glosten, L. R., and Milgrom, P. R. (1985), “Bid, Ask and Transaction Prices in a Specialist Model With Heterogeneously Informed Traders,” Journal of Financial Economics, 14, 71-100.
6. George, T., Kaul, G., and Nimalendran, M. (1991), “Estimation of the Bid-Ask Spread and its Components: A New Approach,” Review of Financial Studies, 4, 623-656.
7. Hasbrouck, J., and Sofianos, G. (1993), “The Trades of Market Makers: An Empirical Analysis of NYSE Specialists,” Journal of Finance, 48, 1565-1593.
8. Ho, T., and Stoll, H. (1981), “Optimal Dealer Pricing Under Transactions and Return Uncertainty,” Journal of Financial Economics, 9, 47-73.
9. Ho, T., and Stoll, H. (1983), “The Dynamics of Dealer Markets Under Competition,” Journal of Finance, 38, 1053-1074.
10. Hopewell, M., and Schwartz, A. (1976), “Stock Price Movement Associated With Temporary Trading Suspensions: Bear Market Versus Bull Markets,” Journal of Financial and Quantitative Analysis, 11, 577-590.
11. Hopewell, M., and Schwartz, A. (1978), “Temporary Trading Suspensions in Individual NYSE Securities,” Journal of Finance, 33, 1355-1373.
12. King, R., Pownall, G., and Waymire, G. (1992), “Corporate Disclosure and Price Discovery Associated With NYSE Temporary Trading Halts,” Contemporary Accounting Research, 8, 509-531.
13. Kyle, A. (1985), “Continuous Auctions and Insider Trading,” Econometrica, 53, 1315-1335.
14. Lee, C. M. C., Ready, M. J., and Seguin, P. J. (1994), “Volume, Volatility and NYSE Trading Halts,” Journal of Finance, 49, 183-214.
15. Madhavan, A., and Smidt, S. (1993), “An Analysis of Changes in Specialist’s Inventory and Quotations,” Journal of Finance, 48, 1595-1628.
16. Madhavan, A., and Smidt, S. New York Stock Exchange Fact Book (1992), New York: New York Stock Exchange.
17. Roll, R. (1984), “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market,” Journal of Finance, 39, 1127-1139.
18. Stoll, H. (1978), “The Supply of Dealer Services in Securities Markets,” Journal of Finance, 33, 1133-1151.
19. Watts, S. (1991), “Market Micro structure and the Timing of Earnings Releases: An Empirical Investigation,” unpublished manuscript, Indiana University, Dept, of Finance.
20. Wood, R., Mclnish, T., and Ord, J. (1985), “An Investigation of Transactions Data for NYSE Stocks,” Journal of Finance, 40, 723-739.