Anatomy of a Market Failure: NYSE Trading Suspensions (1974-1988)
分析了1974-1988年纽交所所有交易暂停事件，发现大公司暂停更多源于库存失衡担忧，而新闻相关暂停则普遍存在逆向选择问题，且流动性各维度间存在替代性。
A cross-sectional analysis of all trading suspensions that occurred during the period 1974-1988 in the New York Stock Exchange reveals that, though the desire to maintain price continuity remains an important motivation to suspend trade, inventory-imbalance fears are pronounced for large firms. Adverse-selection concerns afflict all news-related suspensions irrespective of firm size. Furthermore, we find substitutability among the various dimensions of liquidity: Although large-cap stocks have lower bid-ask spreads, they halt more often. A time series analysis shows that the resiliency of the exchange - its ability to absorb severe volatility shocks - has improved in this period.