deeper and more accurately these two findings by taking Italy as a case study. Our results question the so-called auction …

policy makers who are due to introduce volatility extensions at NYSE and NASDAQ in 2017. In the European Union, call auction …Volatility extensions in closing auctions are designed to improve the efficiency of the closing price. We hypothesize … that the channel for the efficiency increase is that extensions improve market integrity and investor trust in the auction …

-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 …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

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 …

, stock market volatility, and geopolitical risks. In particular, our aim is to determine whether these forms of uncertainty … volatility, which impact negatively in share prices, both in the short and long term. Regarding Brazil, the global uncertainty in …