Date of Award
2012
Document Type
Dissertation
Degree Name
Ph.D. in Business Administration
First Advisor
Robert A. Van Ness
Second Advisor
Tony Ammeter
Third Advisor
Matt Hill
Relational Format
dissertation/thesis
Abstract
This dissertation is comprised of three essays that focus on the interaction between exchange-mandated trading halts and short selling activity in the financial markets. In the first essay, the behavior of short sellers is examined surrounding interruptions in trading to determine if informed short sellers alter their trading patterns prior to and/or following a trading halt. This investigation also addresses the impact of short sales on market quality for halted stocks surrounding periods of interrupted trading, by examining returns, price volatility, and spreads. The second essay investigates if a short-selling contagion effect exists for contemporaries of firms experiencing a trading halt. Although trading suspensions represent a firm-specific event, they may be vieas 'contagious' in the sense that they possess information relevant to other firms in the same industry. The potential for an intra-industry effect supports an examination into whether shorting levels vary significantly for organizations that are informationally related to a firm experiencing a trading halt. The impact of short sales on the market quality of these contemporary firms is also determined by examining returns, price volatility, and spreads surrounding interruptions in trading for an industry member. Market activity surrounding trading halts is examined in the third essay to determine if predatory trading occurs. This research establishes if predatory behavior is present surrounding interruptions in trading or alternatively, if trading halts eliminates the opportunity for predation. This investigation also determines if documented changes in market quality for halted firms are linked to predatory trading.
Recommended Citation
Funck, Mary Celeste, "Investor Behavior Surrounding Trading Halts: Short Sales, Predation and Contagion Effects" (2012). Electronic Theses and Dissertations. 113.
https://egrove.olemiss.edu/etd/113
Concentration/Emphasis
Finance