This paper investigates the price discovery process around exchange-initiated trading halts using 30 minute trade intervals on the Montreal Exchange. Trading halt price discovery, and regulatory and specialist effectiveness differ over the three time periods studied. Volatility and measures of trade activity increase significantly around trading halts, and return to lower levels in less than two days after the resumption of trading. The number of trades is a good measure of the information flow associated with informed trading pre-halt and the price discovery process post-halt.

Additional Metadata
Keywords Price discovery, Regulatory effectiveness, Specialist effectiveness, Trading halts
Persistent URL dx.doi.org/10.1111/j.1540-6288.1998.tb01377.x
Journal Financial Review
Citation
Kryzanowski, L. (Lawrence), & Nemiroff, H. (1998). Price discovery around trading halts on the montreal exchange using trade-by-trade data. Financial Review, 33(2), 195–212. doi:10.1111/j.1540-6288.1998.tb01377.x