Empirical Evidence on the Role of Trading Suspensions in Disseminating New Information to the Capital Market
利用布鲁塞尔泛欧交易所数据，检验交易暂停是否有效迫使公司披露重大信息，发现股价能完全且瞬时调整，交易量显著增加，且不增加波动性。
Abstract: This paper examines the effect of temporarily suspending the trading of exchange‐listed individual stocks. We evaluate whether regulatory authorities can successfully use the mechanism of trading suspension in forcing companies to disclose new and material information to the capital market. Previous studies on trading suspensions mainly concentrate on North‐American stock markets and find conflicting results. This study utilizes a new data set comprising of firms listed on Euronext Brussels – an important segment of Europe's leading cross‐border exchange. Our results show that suspension is indeed an effective means of disseminating new information. Stock prices adjust completely and instantaneously to the new information released during trading suspensions. We also observe a significant increase in trading volume with the reinstatement of trading. On the other hand, we do not find support for the claim that trading suspensions increase the volatility of stock prices. Overall, our results show the efficacy of trading suspensions in disseminating new information.