Trading halts and the advantage of institutional investors: Historical evidence from Borsa Istanbul
Yükleniyor...
Tarih
2024
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Borsa Istanbul Anonim Sirketi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
The effects and effectiveness of trading halts remain controversial among academics and regulators. This paper
provides historical evidence regarding the efficacy of trading halts from a leading emerging market with a unique
microstructure, Borsa Istanbul (Istanbul Stock Exchange), by examining the return, volatility, and volume
behavior around news-initiated trading halts using trade-by-trade data and 15-min intervals from January
1999–April 2003. It also investigates, for the first time, the trading behavior of different types of investors, such
as individuals, mutual funds, and brokerage houses, around trading halts. Findings indicate that most of the new
information is absorbed by prices within 15 min following the resumption of trading after a halt. The reaction of
investors to bad news is slower and stronger than good news. Despite halts, institutional investors employ the
price advantage of new information during the cessation period ahead of individual investors utilizing better
timing in trading after the halts. Institutional investors systematically buy and sell at more favorable prices
around halts than individual investors. Finally, overall evidence suggests that trading halts are effective in the
dissemination of valuable information and play an important role in enhancing the efficiency of the price dis covery mechanism.
Açıklama
Anahtar Kelimeler
Trading halts, Price discovery, Market microstructure, Regulatory effectiveness, Institutional investors
Kaynak
Borsa Istanbul Review
WoS Q Değeri
N/A
Scopus Q Değeri
N/A