Pre-open auctions have been widely implemented across trading exchanges. Pre-open auctions tend to reduce information asymmetry and trading risks. Call auctions have been encouraged to enhance price discovery. This paper explores the shifts in information content of the pre-market auction...

Market microstructure discussions include the impact of call auctions in price discovery and bringing out efficiency in the functioning of markets. We provide an application of Monte carlo simulation to improve upon the volatility estimates by using daily pre-opening auction data for over 50...