Circuit Breakers and Market Volatility: A Theoretical Perspective
从理论角度研究熔断机制的事前效应，发现熔断机制可能导致交易提前、价格波动加剧，并在多市场情境下引发流动性转移和波动性变化。
ABSTRACT This paper examines ex ante effects of circuit breakers (mandated trading halts). We show that circuit breakers, by causing agents to suboptimally advance trades in time, may have the perverse effect of increasing price variability and exacerbating price movements. We next consider a situation in which a circuit breaker causes trading to be halted in both a dominant (more liquid) and a satellite market. As agents switch from the dominant market to the satellite market, price variability and market liquidity decline on the dominant market and increase on the satellite market.