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|Title:||The Impact of Trading Halts on the Australian Equities Markets|
|Keywords:||trading halt, Australian equities markets, Australian Stock Exchange|
|Abstract:||This dissertation examines the impact of trading halts on the trading behaviour for a sample of halted stocks listed on the Australian Stock Exchange (ASX). A detailed analysis of returns, liquidity and volatility around trading halts for a sample of 18,245 halted stocks captured over the period 1 January 2005 to 26 September, 2006 allows this study to extend the literature in three main ways. First, this study re-examines the impact of ASX trading halts in a tighter regulatory environment, where companies were obliged to comply with stricter continuous disclosure requirements. Second, the availability of the largest database of trading halts in Australia, permits an investigation of the benefits of trading halts in a more rigorous manner. Finally, regression analysis is used to identify factors associated with aberrant stock volatility immediately after a trading halt. This will provide a better understanding of the trading behaviour surrounding trading halts and allow ASX exchange officials to fine-tune the market surveillance discipline. This study finds that trading halts result in abnormally high levels of trading volume and volatility in the period immediately following a trading halt. Additionally, wider bid-ask spreads and lower order depth immediately after a trading halt, suggest that information asymmetry is high during this period. Halted stock returns are persistently high for up to a full trading day after a trading halt. This suggests that trading halts do not fully allow for an efficient dissemination of new information. The impact of trading halts on stock volatility is found to be a function of firm size, and trading halt duration, but not for the announced reason for the trading halt. Overall, this study concludes that trading halts have an immediate negative impact on market quality.|
|Rights and Permissions:||The author retains copyright of this thesis|
|Type of Work:||Thesis, Honours|
|Appears in Collections:||Honours Theses|
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