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Persistent link: https://www.econbiz.de/10009614495
We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...
Persistent link: https://www.econbiz.de/10003831253
Persistent link: https://www.econbiz.de/10011803326
A call auction is a form of trading that died out in the pre-computer age but has made its reentrance in electronic markets and is currently a significant component of major stock markets globally. In contrast with a continuous market where a transaction is made any time a buy and sell order...
Persistent link: https://www.econbiz.de/10013406023
We assess the quality of opening and closing prices for Nasdaq stocks by examining the effect that opening and closing call auctions (introduced in 2004) have had on price formation. Our use of measurement intervals of one minute or less sharpens the picture of intra-day volatility...
Persistent link: https://www.econbiz.de/10010303693