The Impact of Trading Halts on Liquidity: Intraday Analysis on the Stock Exchange of Thailand / Poompak Kusawat
Imprint
2015
Descript
35 leaves: tables
SUMMARY
Trading halt is a widely used tool utilized by various stock exchanges to protect investors and public interests, by allowing appropriate time for investors to disseminate newly released information. The objective of this study is to determine the impact of trading halts on equity markets. This study analyzes the impact of trading halts on the trading behavior of stocks listed on the Stock Exchange of Thailand (SET), by focusing on the intraday market quality measurements, namely, trading volume, bid-ask spreads, and market depth. This study also further observes the impact of halts duration, news announcement, and firm size on the aforementioned liquidity measures. The results show that trading volume is abnormally high after trading halts, particularly in halts with longer duration, and gradually decrease during the span of three days. Bid-ask spreads appears to be wider immediately after trading halts, but quickly disappear within the first 15 minutes of resume trading. There is no abnormal order depth at the best quotes, as well as no abnormal total depth during the first 15 minutes after trading resumes. Halts characteristics seem to have no concrete effect on abnormal bid-ask spreads relative to non-halt period. However, smaller firms appear to have wider increase in spreads immediately after halt relative to spreads before halt.
