Camilleri, Silvio John; Green, Christopher J. - In: International Journal of Banking, Accounting and Finance 1 (2009) 3, pp. 257-284
We study the suspension of opening and closing call auctions by the National Stock Exchange of India in 1999. We … compare volatility, efficiency and liquidity (VEL) of securities before and after suspension and estimate the value of the … auctions using an event study. Following suspension, VEL improved and the CARs were significant but not uniformly positive or …