文档介绍：The Role of Trading Halts in Monitoring
a Specialist Market
Roger Edelen and Simon Gervais∗
Finance Department
Wharton School
University of Pennsylvania
Steinberg Hall - Dietrich Hall
Suite 2300
Philadelphia, PA 19104-6367
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First Version: 15 November 1997
This Version: 18 December 1999
∗This paper evolved from a previous working paper entitled “Trading Halts in a Principal-Agent Model
of an Exchange.” Financial support by the Rodney L. White Center for Financial Research is gratefully
acknowledged. The paper owes a great deal to e Sofianos for instrumental discussions at the inception
of the project, and for assistance with its development and data collection. Also providing helpful discussions
and suggestions were Utpal Bhattacharya, James Gallagher, Gary Gorton, Ken Kavajecz, Richard Kihlstrom,
John McMahon, Christopher Quick, Duane Seppi, David Shields, Nicholas Souleles, Paul Weller, Donald
Wickert, Bilge Yılmaz, and seminar participants at the University of Washington, the 1998 meetings of the
Western Finance Association, the 1999 NASDAQ-Notre Dame Microstructure conference, and the Wharton
School. We would also like to thank Murray Teitelbaum anizing our visit to the NYSE, and Benjamin
Croitoru for his research assistance. The views and ideas expressed in this paper are those of the authors
alone.
Abstract
We model an exchange as a collection of specialists, each a monopolist market maker in a subset
of the stocks listed on the exchange. We show that specialists can private benefits at
the expense of the exchange (the collection of all specialists) by quoting a privately optimal pricing
schedule. Conversely, a coordinated pricing schedule makes all specialists and customers better
off. However, coordination requires a system of monitoring and punishment, which can break down
when information asymmetries between the exchange and a speciali