The Effect of SEC‐Ordered Suspensions on Returns, Volatility, and Trading Volume
作者:
Stephen P. Ferris,
Raman Kumar,
Glenn A. Wolfe,
期刊:
Financial Review
(WILEY Available online 1992)
卷期:
Volume 27,
issue 1
页码: 1-34
ISSN:0732-8516
年代: 1992
DOI:10.1111/j.1540-6288.1992.tb01305.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
AbstractThis study evaluates the effect of SEC‐ordered suspensions on securities' returns, volatility, and trading volume during 1963–1987. 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 presuspension period. This trend continues in the immediate postsuspension period. The variance and volume levels return to more normal levels only at a much later date. We conclude that trading suspensions are not associated with the immediate elimination of unusual market activ
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