WFE Webinar
Circuit breakers and market quality
Date:July 05, 2022 Time:09:00-10:00 UTC
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Moderator: Dr. Pedro Gurrola-Perez, Head of Research, The World Federation of Exchanges Presenter: Dr. Kaitao Lin, CFA, Financial Economist, The World Federation of Exchanges Panellists: Ben Jackson, General Manager, Market Operations, Australian Securities Exchange Michael Syn, Senior Management Director, Head of Equities, SGX Group 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.This is an open event. Feel free to share with colleagues inside or outside your organisation who may be interested. |
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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).
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.
Ben started his career at the International Petroleum Exchange (IPE) in London. He moved to the London International Financial Futures and Options Exchange (LIFFE) to take on a role as a Trading Pit Observer on the Open Outcry trading floor and also spent time on London Commodities Exchange (LCE) trading floor. When the London open outcry trading floors closed down, Ben moved to Australia. He has been at the Australian Securities Exchange – ASX, for 19 years. For the past six years Ben has been General Manager, Market Operations, accountable for the operation of the ASX equity and derivatives trading systems, as well as the surveillance and the Market Announcement Platforms.
Mr Michael Syn is Head of Equities at Singapore Exchange Group (SGX Group). Mr Syn has management responsibility for SGX equity businesses,
serving as CEO of the stock market (ST), depository (CDP) and futures market (DT/DC).
Prior to this role, Mr Syn led the Exchange’s successful derivatives business in equity, commodity and currency assets. He joined SGX Group in 2011 with a background in investment banking and investment management.
Mr Syn serves on the council of Economic Society of Singapore and the board of Sentosa Development Corporation. He chairs Mount Faber Leisure Group, one of Singapore’s leading operators of a suite of leisure and lifestyle services, anchored around the Singapore Cable Car Sky Network of six stations.
Mr Syn graduated with MA and PhD degrees from Cambridge University and attended the Harvard Advanced Management Program.
