Pagano, Michael S.; Peng, Lin; Schwartz, Robert A. - In: Journal of Financial Markets 16 (2013) 2, pp. 331-361
Electronic call auctions are used globally to open and close equity market trading; as such, they are a critically important facility that needs to be better understood. The paper focuses on the impact NASDAQ's calls (introduced in 2004) have had on bid-ask spreads, price volatility, and order...