Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 18, 2020 erstellt
Description:
Market-wide circuit breakers (MWCBs), which halt trading for 15 minutes across all U.S. stock markets, have been triggered four times in March 2020 amid COVID-19. This paper provides some of the first evidence on the efficacy of MWCBs with tick-by-tick stock trading data. Using a difference-in-difference approach, we find that MWCBs significantly increase stocks' realized volatility, bid-ask spread, and trading volume. Moreover, the market opening and reopening mechanisms of different stock exchanges complicate the operation of MWCBs. Our results suggest that MWCBs can have the unintended consequences of panicking the markets for a prolonged period of time, especially by aggravating market volatility and liquidity conditions