{"title":"Trading halts and the advantage of institutional investors: Historical evidence from Borsa Istanbul","authors":"Recep Bildik","doi":"10.1016/j.bir.2023.12.006","DOIUrl":null,"url":null,"abstract":"<p>The effects and effectiveness of trading halts remain controversial among academics and regulators. This paper provides historical evidence regarding the efficacy of trading halts from a leading emerging market with a unique microstructure, Borsa Istanbul (Istanbul Stock Exchange), by examining the return, volatility, and volume behavior around news-initiated trading halts using trade-by-trade data and 15-min intervals from January 1999–April 2003. It also investigates, for the first time, the trading behavior of different types of investors, such as individuals, mutual funds, and brokerage houses, around trading halts. Findings indicate that most of the new information is absorbed by prices within 15 min following the resumption of trading after a halt. The reaction of investors to bad news is slower and stronger than good news. Despite halts, institutional investors employ the price advantage of new information during the cessation period ahead of individual investors utilizing better timing in trading after the halts. Institutional investors systematically buy and sell at more favorable prices around halts than individual investors. Finally, overall evidence suggests that trading halts are effective in the dissemination of valuable information and play an important role in enhancing the efficiency of the price discovery mechanism.</p>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"20 1","pages":""},"PeriodicalIF":6.3000,"publicationDate":"2023-12-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Borsa Istanbul Review","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1016/j.bir.2023.12.006","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
The effects and effectiveness of trading halts remain controversial among academics and regulators. This paper provides historical evidence regarding the efficacy of trading halts from a leading emerging market with a unique microstructure, Borsa Istanbul (Istanbul Stock Exchange), by examining the return, volatility, and volume behavior around news-initiated trading halts using trade-by-trade data and 15-min intervals from January 1999–April 2003. It also investigates, for the first time, the trading behavior of different types of investors, such as individuals, mutual funds, and brokerage houses, around trading halts. Findings indicate that most of the new information is absorbed by prices within 15 min following the resumption of trading after a halt. The reaction of investors to bad news is slower and stronger than good news. Despite halts, institutional investors employ the price advantage of new information during the cessation period ahead of individual investors utilizing better timing in trading after the halts. Institutional investors systematically buy and sell at more favorable prices around halts than individual investors. Finally, overall evidence suggests that trading halts are effective in the dissemination of valuable information and play an important role in enhancing the efficiency of the price discovery mechanism.
期刊介绍：
Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations
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