Chang, Rosita P.; Hsu, Shuh-Tzy; Huang, Nai-Kuan; Rhee, … - In: Journal of Business Finance & Accounting 26 (1999-01) 1-2, pp. 137-170
This study contrasts the call and continuous auction methods using Taiwan Stock Exchange data. Volatility under the call market method is approximately one-half of that under the continuous auction method. The call market method is more effective in reducing the volatility of high-volume stocks...
