The impact of the closing call auction : an examination of effects in London

Christopher Battig and Patricia L. Chelley-Steeley

This article examines the impact on market quality that the introduction of a closing call auction had at the London Stock Exchange (LSE). Using the market model approach of Cohen et al. (1983a, b) we show that opening and closing market quality improved for those Financial Times and Stock Exchange 100 (FTSE 100) securities participating in the closing call. A control sample of stocks is not characterized by discernable changes to market quality.

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Year of publication:	2010
Authors:	Battig, Christopher ; Chelley-Steeley, Patricia L.
Published in:	Applied financial economics. - London : Routledge, ISSN 0960-3107, ZDB-ID 1077973-5. - Vol. 20.2010, 4/6, p. 303-315
Subject:	Börse \| Bourse \| Auktion \| Auction \| Elektronisches Handelssystem \| Electronic trading \| Großbritannien \| United Kingdom

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Extent:	graph. Darst.
Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Source:	ECONIS - Online Catalogue of the ZBW

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