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The Effect of Single-Stock Circuit Breakers on the Quality of Fragmented Markets

机译：单一式断路器对零散市场质量的影响

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Since the May 6th, 2010 flash crash in the U.S., appropriate measures ensuring safe, fair and reliable markets become more relevant from the perspective of investors and regulators. Circuit breakers in various forms are already implemented for individual markets to ensure price continuity and prevent potential market failure and crash scenarios. However, coordinated inter-market safeguards have hardly been adopted, but are considered essential in a fragmented environment to prevent situations, where main markets halt trading but stock prices continue to decline as traders migrate to satellite markets. The objective of this paper is to empirically study the impact of circuit breakers in a single-market and inter-market setup. We find a decline in market volatility after the trading halt in the home and satellite market which come at the cost of higher spreads. Moreover, the satellite market's quality and price discovery during CBs is weakened and only recovers as the other market restarts trading.
机译：自2010年5月6日美国经济崩盘以来，从投资者和监管机构的角度而言，确保安全，公平和可靠的市场的适当措施变得尤为重要。已经针对各个市场实施了各种形式的断路器，以确保价格连续性并防止潜在的市场失灵和崩溃情况。但是，几乎没有采取协调一致的市场间保障措施，但是在零散的环境中被认为是必不可少的，以防止出现以下情况：主要市场停止交易，但随着交易员迁移到卫星市场，股价继续下跌。本文的目的是凭经验研究断路器在单一市场和跨市场设置中的影响。我们发现，在家用和卫星市场交易停滞之后，市场波动性有所下降，这是以价差较高为代价的。此外，在可转债期间，卫星市场的质量和价格发现被削弱，只有在其他市场重新开始交易时才恢复。

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