Hsiu‐Chuan Lee; Cheng‐Yi Chien; Yen‐Sheng Huang - In: Journal of Futures Markets 27 (2007) 10, pp. 1003-1019
This study examines the behavior of futures prices around stock market close before and after changes to the batching period of the stock closing call. On July 1, 2002, the Taiwan Stock Exchange expanded the length of the batching period roughly 10‐fold, from an average of 30 seconds to 5...
