Order Flow and Liquidity around NYSE Trading Halts

摘要

We Study order flow and liquidity around NYSE trading halts. We find that mar- ket and limit order submissions and cancellations increase significantly during trading halts, that a large proportion of the limit order book at the reopen is com- posed of orders submitted during the halt, and that he market-clearing price at the reopen is a good predictor of future prices. Depth near the quotes is unusually low around trading halts, though specialists and/or floor traders appear to provide additional liquidity at these times. Finally, specialists appear to "spread the quote" prior to imbalance halt to convey information to market participants.