The quot;magnetquot; or quot;gravitationalquot; effect hypothesis asserts that, when trading halts are rule-based, investors concerned with a likely impediment to trade advance trades in time. This behavior actually pushes prices further towards the limit. Empirical studies about the magnet...

We evaluate a stock specific circuit breaker mechanism implemented in several European stock exchanges, which consists of a short-lived call auction triggered by intraday stock-specific price limits. This switching mechanism differs from the previously studied US trading halts in that it is...

Madhavan (1992,The Journal of Finance, 47, 2, 607-641) recommends a temporary switch to a call auction rather than a trading halt in times of market stress. He predicts the call auction to aggregate information more efficiently and to facilitate the resumption of the continuous session. In this...

By adverse-selecting liquidity providers, toxic order flow harms liquidity. We empirically examine which components of modern markets' net flow of orders convey information and signal toxicity. We find that the net flow of non-marketable orders is more informative than the trade-initiator-based...