deeper and more accurately these two findings by taking Italy as a case study. Our results question the so-called auction …

policy makers who are due to introduce volatility extensions at NYSE and NASDAQ in 2017. In the European Union, call auction …Volatility extensions in closing auctions are designed to improve the efficiency of the closing price. We hypothesize … that the channel for the efficiency increase is that extensions improve market integrity and investor trust in the auction …

Auction (CA) mechanism to S&P BSE Sensex stocks and NSE Nifty stocks on 18th October 2010. The opening CA introduced to … increase the price discovery, reduce the volatility, and to reflect the overnight information in the prices. In this paper, we …

-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a … the pre-opening period, and contribute signifi- cantly to market quality in the pre-opening period, the opening auction …

We conducted a comprehensive analysis on the sequential introductions of dynamic and static volatility interruptions … investors from brief periods of abnormal volatility for individual stocks. We found that dynamic VI is effective in price …

increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present … is no auction, is very similar to the secondary-market behaviour of the auctioned series. These findings support an …

increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present … is no auction, is very similar to the secondary-market behavior of the auctioned series. These findings support an …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …