Camilleri, Silvio John; Green, Christopher J. - In: International Journal of Banking, Accounting and Finance 1 (2009) 3, pp. 257-284
We study the suspension of opening and closing call auctions by the National Stock Exchange of India in 1999. We compare volatility, efficiency and liquidity (VEL) of securities before and after suspension and estimate the value of the auctions using an event study. Following suspension, VEL...