This research studies the relative performance of trading halts and price limits using data from the Tehran Stock Exchange, where both mechanisms have coexisted. This research is based on studying the event. The event is equivalent to trading halt and stock price limit hit. With respect to considering filters in sampling, we examined 143 trading suspensions and 230 price limit hits related to 24 companies from 2008 to 2011 (1387 to 1390). The present study examines abnormal change of the trading activity, liquidity, volatility and abnormal return around trading halts and price limits. Using SPSS-19 and the comparing means method, results indicated that trading activity increased after both of the above-mentioned mechanisms. Liquidity increased after trading halts but it decreased after price limit hits. Our evidence also shows that the volatility decreased after trading halts but it increased after price limit hits. Trading halts do not have significant relationship with abnormal return. The abnormal return decreased after price limit hits. Our overall result indicated that trading halts are more effective than price limit hits.
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rostami, M., & bahrami, P. S. (2013). Relative Performance of the Trading Halts and Price Limits At the Tehran Stock Exchange. Financial Management Strategy, 1(2), 53-70. doi: 10.22051/jfm.2014.962
MLA
mohammadreza rostami; parvin sadat bahrami. "Relative Performance of the Trading Halts and Price Limits At the Tehran Stock Exchange". Financial Management Strategy, 1, 2, 2013, 53-70. doi: 10.22051/jfm.2014.962
HARVARD
rostami, M., bahrami, P. S. (2013). 'Relative Performance of the Trading Halts and Price Limits At the Tehran Stock Exchange', Financial Management Strategy, 1(2), pp. 53-70. doi: 10.22051/jfm.2014.962
VANCOUVER
rostami, M., bahrami, P. S. Relative Performance of the Trading Halts and Price Limits At the Tehran Stock Exchange. Financial Management Strategy, 2013; 1(2): 53-70. doi: 10.22051/jfm.2014.962
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