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

机译：单股断路器对碎片市场质量的影响

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摘要

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日以来，美国的闪存崩溃，从投资者和监管机构的角度来看，确保安全，公平和可靠的市场变得更加相关。各种形式的断路器已经为各个市场实施，以确保价格连续性，防止潜在的市场故障和碰撞情景。然而，协调的间间保障措施难以采纳，但被认为是一个碎片化环境中的必要条件，以防止主要市场停止交易，但由于交易商迁移到卫星市场，股票价格继续下降。本文的目的是经验研究断路器在单一市场和市场间设置中的影响。在家庭和卫星市场的交易停止后，我们发现市场波动的下降，以较高的差价。此外，卫星市场的质量和价格发现在CBS期间被削弱，只有其他市场重新开始交易。

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