In 2008 The Hong Kong stock exchange introduced a closing call auction, which was subsequently removed in March 2009 after instances of market manipulation1. This paper examines the impact of the introduction and suspension of the closing call auction on market quality. Our empirical analysis...

This study investigates the determinants of liquidity and execution probability in an operated dark pool. We analyze a unique set of data collated from the Australian Securities Exchange (ASX) that allows the identification trades and orders in its Centre Point dark pool. This study contributes...

This study re-examines the variation in selling prices between the auction and private treaty method of sales. Using sales data from five major Australian capital cities over a four year period, we estimate a hedonic pricing model. Results indicate that for house sales, auctions lead to greater...

This paper examines liquidity in the China stock market around the introduction of the CSI 300 Index Futures contract. Two competing hypotheses are tested. Liquidity of constituents stocks in the underlying index may worsen as passive and uninformed investors migrate to the futures market. On...