arbiter
JournalsPricingAccount

The Cross-Sectional Spillovers of Single Stock Circuit Breakers

James Brugler et al.

Market Microstructure and Liquidity2018https://doi.org/10.1142/s2382626619500084article
ABDC B
Weight
0.50

What the paper says

This paper uses transaction data to estimate how single stock circuit breakers on the London Stock Exchange affect other stocks that remain in continuous trading. This “spillover” effect is estimated by calculating the effect of a trading halt on the market quality of stocks that remain in continuous trading and comparing this with the effect of a stock whose absolute returns are of a magnitude nearly sufficient to trigger a trading halt but do not do so. Market quality is measured using a combination of trading costs, volatility and volume. In the two-month period we study, characterized by a relatively volatile trading environment, we find that circuit breakers lead to a significant improvement in the liquidity, and reduction in the volatility, of stocks that remain in continuous trading. This suggests that — at least over the period covered by our data — single stock circuit breakers can play an important role in reducing the spillover of poor market quality across stocks.

6 citations

Open paper page →

Cite this paper

https://doi.org/https://doi.org/10.1142/s2382626619500084

Or copy a formatted citation

@article{james2018,
  title        = {{The Cross-Sectional Spillovers of Single Stock Circuit Breakers}},
  author       = {James Brugler et al.},
  journal      = {Market Microstructure and Liquidity},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.1142/s2382626619500084},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

The Cross-Sectional Spillovers of Single Stock Circuit Breakers

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.38 × 0.4 = 0.15
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.