Anatomy of a Market Failure: NYSE Trading Suspensions (1974–1988)
分析了1974-1988年纽约证券交易所所有交易暂停事件，发现大公司暂停交易更多源于库存失衡，而新闻相关暂停则普遍受逆向选择影响，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.