Volume, Volatility, and New York Stock Exchange Trading Halts
研究发现纽约证券交易所的交易暂停反而增加了恢复交易后的成交量和波动性，且媒体关注度只能部分解释这一现象。
ABSTRACT Trading halts increase, rather than reduce, both volume and volatility. Volume (volatility) in the first full trading day after a trading halt is 230 percent (50 to 115 percent) higher than following “pseudohalts”: nonhalt control periods matched on time of day, duration, and absolute net‐of‐market returns. These results are robust over different halt types and news categories. Higher posthalt volume is observed into the third day while higher posthalt volatility decays within hours. The extent of media coverage is a partial determinant of volume and volatility following both halts and pseudohalts, but a separate halt effect remains after controlling for the media effect.