摘要翻译:
停止交易是所有市场的共同做法。然而,这些测量的优点和缺点经常被讨论。支持者认为,交易暂停或价格限制使投资者有可能有时间对新的信息做出反应。批评者认为贸易停止是贸易的障碍。于是,一场理论上的辩论继续着一场经验上的讨论。这项研究的结果显得比较零散。今天很难就交易暂停的有效性得出一个普遍的结论。
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英文标题:
《Les r\'eservations et les suspensions de cotation sont-elles un frein
\`a l'efficience informationnelle des march\'es ?》
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作者:
Karine Michalon (CEREG)
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最新提交年份:
2012
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Trading and Market Microstructure 交易与市场微观结构
分类描述:Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构,流动性,交易和拍卖设计,自动化交易,基于代理的建模和做市
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英文摘要:
The use of the trading halts is a practice common to all markets. However, the advantages and the disadvantages of the measurements are regularly discussed. The partisans think that the trading suspensions or the price limits make it possible to the investors to have time to react to the new information. The detractors think that the trading halts are barriers with the trade. A theorical debate thus continued with an empirical discussion. The results of this study appear relatively scattered. It is today difficult to draw a general conclusion as for the effectiveness of the trading halts.
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PDF链接:
https://arxiv.org/pdf/1211.3824