The Effect of SEC-Ordered Suspensions on Returns, Volatility, and Trading Volume.

This study evaluates the effect of SEC-ordered suspensions on securities' returns, volatility, and trading volume during 1963-87. It is found that there is a permanent devaluation of these securities during the suspension. This result, however, is sensitive to the announced reason for the suspension. Both the variance and the trading volume are found to be substantially higher than normal in the pre-suspension period. This trend continues in the immediate post-suspension period. The variance and volume levels return to more normal levels only at a much later date. The authors conclude that trading suspensions are not associated with the immediate elimination of unusual market activity. Copyright 1992 by MIT Press.