Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence
研究1987年10月崩盘期间，一个实行熔断机制和预拍卖订单失衡披露的小型股票市场的表现，发现熔断机制减少了次日开盘订单失衡和初始价格损失，但对长期反应无影响。
ABSTRACT This study examines the behavior of a small stock market with circuit breakers and with a one‐hour preauction order imbalance disclosure, during the October 1987 crash. The crash and its aftershocks lasted for a week and selling pressure was concentrated in higher beta, larger capitalization, and lower leverage firm stocks. Circuit breakers when implemented reduced the next‐day opening order imbalance and the initial price loss; however, they had no effect on the long‐run response. Some price overreaction and reversal phenomena also are documented.