Market quote and spread component cost behavior around trading halts for stocks interlisted on the montreal and toronto stock exchanges
Financial Review , Volume 36 - Issue 2 p. 115- 138
We use intraday quotes and transactions on halted securities that interlisted on the Toronto Stock Exchange and Montreal Exchange to decompose the spreads and examine quote depths. Our results show that order-processing costs differ for trading halts at the open compared to halts during the rest of the trading day. We find that the adverse-selection cost component of the spread is higher around trading halts and highest at the trading halt. We also find that print-media articles that appear within the four-day window centered on the halt have no impact on the time-series behavior of the spread cost.
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Kryzanowski, L. (Lawrence), & Nemiroff, H. (2001). Market quote and spread component cost behavior around trading halts for stocks interlisted on the montreal and toronto stock exchanges. Financial Review, 36(2), 115–138. doi:10.1111/j.1540-6288.2001.tb00013.x