Document Type

Honors Project On-Campus Access Only

Abstract

This paper examines the effectiveness of the SEC's latest market restriction policy, Single Stock Circuit Breaker (SSCB), in highly volatile periods. The paper uses the Difference-in-Difference model to estimate the impact of the SSCB on market volatility on the well-known flash crash day (August 23, 2015). The result shows that the circuit breakers significantly increase market volatility during the extreme market turbulence. This result implies the ineffectiveness of the policy as well as the necessity to reexamine the mechanism of such policy for future change.

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