Auction (CA) mechanism to S&P BSE Sensex stocks and NSE Nifty stocks on 18th October 2010. The opening CA introduced to … increase the price discovery, reduce the volatility, and to reflect the overnight information in the prices. In this paper, we …

-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening auction. We use a … the pre-opening period, and contribute signifi- cantly to market quality in the pre-opening period, the opening auction …

We conducted a comprehensive analysis on the sequential introductions of dynamic and static volatility interruptions … investors from brief periods of abnormal volatility for individual stocks. We found that dynamic VI is effective in price …

increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present … is no auction, is very similar to the secondary-market behaviour of the auctioned series. These findings support an …

increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present … is no auction, is very similar to the secondary-market behavior of the auctioned series. These findings support an …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …