Moderator: Pedro Gurrola-Perez, Head of Research, The World Federation of Exchanges
Presenter: Kaitao Lin, Financial Economist, The World Federation of Exchanges
Heinrich Lutjens, Vice President, Economic Research, Nasdaq
Steven Poser, Director, NYSE Research and Strategy
Abstract: In March 2020, the U.S. security market experienced heightened volatility induced by the COVID-19 pandemic, and market-wide circuit breakers were triggered on four occasions. Relying on high-frequency intraday trade and quote data, we investigate the market conditions around these trading halts to shed light on the effectiveness of circuit breakers. We find that, on average, stock returns stabilize, trading cost reduces, selling pressure resolves, and prices become more informative after trading resumes from the market-wide trading halts. Moreover, we provide evidence that traders tend to hold back from aggressive trading right before the trading halts, which is inconsistent with the circuit breakers causing panic (the magnet effect). Overall, our findings point to the efficacy of the circuit breakers as a well-designed safeguarding mechanism employed by the exchanges.
Format: There will be a presentation followed by a panel session and audience Q&A.
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Pedro joined the World Federation of Exchanges in October 2019 from the Bank of England, where he led the Financial Market Infrastructures Directorate’s Research Team. He had joined the Bank of England in 2013, after two years at the UK Financial Services Authority. Previously, Pedro spent more than 15 years lecturing and doing research at a range of well-regarded academic institutions, including the University of Barcelona and the Instituto Tecnológico Autónomo de México (ITAM).
Pedro holds two PhDs: one from the University of Barcelona, Spain, and one from the University of Montpellier, France, and has published across key academic journals, including the Journal of Financial Market Infrastructures, the Journal of Risk, International Finance and the Journal of Futures Markets. His recent work includes research on the economics of distributed ledger technologies (DLT) for securities settlement, on the network structure of settlement fails and on market liquidity risk in CCPs. He has also published research on payment systems, back-testing methodologies and on the structure of interest rate futures markets. In 2007 he received the National Award on Derivatives Research, awarded by the Mexican Derivatives Exchange (MexDer).
Steven W. Poser is Director, NYSE Research and Strategy. Mr. Poser is an expert in U.S. equity market microstructure, and works closely with other exchanges, the SEC, academia and member firms on market structure issues. He is responsible for providing solutions, analysis and messaging for NYSE U.S. cash markets business lines and listings, including competitive and market quality analysis.
Prior to joining the NYSE, Mr. Poser was president of Poser Global Market Strategies Inc., an advisory and education global markets strategy firm, providing economic and technical forecasts of equity, fixed income, currency and commodity markets. Before forming Poser Global, he spent eleven years at Deutsche Bank, where he was Vice President, Quantitative and Technical Analysis.
Mr. Poser is a former member of the Board of Directors of the Market Technicians Association and is author of the highly regarded book, “Applying Elliott Wave Theory Profitably”. He holds a B.A. in Mathematics and Computer Science from New York University, an MBA in Business Economics from Pace University and a post-MBA Certificate in Finance from NYSE Stern School of Business.
Kaitao joined the World Federation of Exchanges in May 2020 as a financial economist in the Research Team. Kaitao holds a Ph.D. in Finance from the University of Houston and is a Chartered Financial Analyst® (CFA®) charterholder. His research focuses on market microstructure issues, such as trading rules, their effects on market participants, and market quality. His current work includes circuit breakers, retail participation, and crypto assets. Kaitao’s papers have been presented in various international conferences, including the U.S. SEC Ph.D. Symposium, the China International Conference in Finance, and the Financial Management Association Annual Meeting.
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