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A Two-Stage Non Discretionary Trading Suspension Mechanism: Effects on Market Quality

Anolli, Mario et al.
Munich Personal RePEc Archive · Reports
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This paper investigates the intraday effects on market quality of a unique trading suspension mechanism in place at the Italian stock market (Borsa Italiana) in case of price limit hit. Specifically, when prices hit the limit, Borsa Italiana halts trading for 5 minutes ('freeze phase') and removes t
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