By using the equality test and panel regression, we study the effects of around the last five minutes call auction of … volatility loadings, during the hided call auction period in stock market, will increase their price and lowers their average … return. With high uncertainty during last 5 minutes call auction period with hided information, futures markets are …

The paper analyzed the impact of opening call auction on the efficiency of price discovery at the National Stock … introduction of the call auction market in 2010. Descriptive statistics, one-way ANOVA, augmented Dickey-Fuller unit-root Test, and … the two periods, though a reduction in volatility was observed. The introduction of the pre-open auction market resulted …

opening auction only relates to low volume stocks. Low volume stock traders avoid trading until the open; this seems connected … to their evading the informed trading-dominated opening auction. For the largest volume stocks, the opening auction …

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 … call auction design on closing price manipulation. Our results indicate that a plain-vanilla call auction mechanism is …

We devise a tractable model to study the buyer's bid double auction (BBDA) that allows correlated signals and …