Intraday Rallies and Crashes: Spillovers of Trading Halts
本文分析了个股熔断机制下的日内暴涨暴跌事件，发现这些事件会通过套利者的投机策略（如动量交易和配对交易）对未停牌股票产生横截面溢出效应，影响其交易量和波动率。
Abstract This paper analyses a set of intraday rally and crash events at the firm level during the single‐stock circuit breaker program and documents the cross‐sectional spillover effects of such events on non‐halted stocks. We test whether such major price jumps, and subsequent trading halts, affect related stocks through the destabilizing eme price movements that trigger the circuit breakers at the firm level are accompanied by a massive surge in volume, spread and short‐term volatility, which gradually revert back to normal. Speculative strategies of arbitrageurs such as momentum and pairs trading cause cross‐sectional spillovers in volume and volatility during the trading halt. Copyright © 2016 John Wiley & Sons, Ltd.