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Sniping to Manipulate Closing Prices in Call Auctions : Evidence from the Hong Kong Stock Exchange

Suen, Wing - 2014

The Hong Kong Stock Exchange briefly adopted call auctions as its closing mechanism. We find evidence of abnormally …

Persistent link: https://www.econbiz.de/10013068590

Call Auction Mechanism and Closing Price Manipulation : Evidence from the Hong Kong Stock Exchange

Park, Seongkyu Gilbert - 2020

The Hong Kong Stock Exchange (HKEx) adopted a closing call auction in 2008 but suspended its operation ten months later due to suspicion of widespread price manipulation. The Exchange relaunched the auction in 2016 with manipulation-deterrence enhancements. We exploit this unique setting by...

Persistent link: https://www.econbiz.de/10012846904

How the Last Call Auction of Underlying Stock Market Affects the Price Behaviors of Continuous Trading Index Futures

Chen, Ming-Hsien - 2013

By using the equality test and panel regression, we study the effects of around the last five minutes call auction of underlying stock market on price behaviors of continuous trading TAIFEX index futures. First, continuous trading enables a better reaction to new information and improved risk...

Persistent link: https://www.econbiz.de/10013076850

Stabilizing asset prices through transition from continuous trading to electronic auctions

Schulmeister, Stephan - 2023

stabilizing these" long swings" through replacing continuous asset trading with electronic auctions. First, the paper sketches the … replacing continuous trading with electronic auctions, e.g., every three hours. This approach is theoretically more appealing …

Persistent link: https://www.econbiz.de/10014321535

Testing for stock market contagion : a quantile regression approach

Park, Sungyong; Wang, Wendun; Huang, Naijing - 2015 - This version: March 25, 2015

Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock...

Persistent link: https://www.econbiz.de/10010504111

Idiosyncratic volatility and stock returns : Indian evidence

Aziz, Tariq; Ansari, Valeed Ahmad - In: Cogent economics & finance 5 (2017) 1, pp. 1-20

This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the period 1999–2014. Univariate and bivariate sorting, as well as cross-section regressions, suggest a positive relation between idiosyncratic volatility and future stock returns. However, this...

Persistent link: https://www.econbiz.de/10011887525

Chapter 26 Art Auctions

Ashenfelter, Orley; Graddy, Kathryn - In: Handbook of the economics of art and culture : volume 1, (pp. 909-945). 2006

estimates in auctions. We then look at whether items that fail at auction subsequently return less than items that have not …

Persistent link: https://www.econbiz.de/10014023803

An Empirical Study of the Indian Treasury Securities Primary Auctions

Nath, Golaka C. - 2012

The study has attempted to empirically examine the efficiency of Govt. securities auction in Indian market. It is observed that prices of the securities under auction generally move downward between the date of announcement of auction and the date of auction. The yield, duration, issue size,...

Persistent link: https://www.econbiz.de/10013104616

Price Discovery in Emissions Permit Auctions

Burtraw, Dallas - 2014

Auctions are increasingly being used to allocate emissions allowances (“permits”) for cap and trade and common …-pool resource management programs. These auctions create thick markets that can provide important information about changes in …-bid auctions and for multiround clock auctions, with or without end-of-round information about excess demand. Price inertia is …

Persistent link: https://www.econbiz.de/10013069758

Dual sourcing with price discovery

Alcalde, José; Dahm, Matthias - 2016

Reverse auctions are considered a fast and inexpensive price discovery tool to award procurement contracts and it is …

Persistent link: https://www.econbiz.de/10011448760