Exchange (NSE), India by studying the returns and volatility behavior of one benchmark index (NSE's Nifty) and 10 Nifty … the two periods, though a reduction in volatility was observed. The introduction of the pre-open auction market resulted …The paper analyzed the impact of opening call auction on the efficiency of price discovery at the National Stock …

behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically …

volatility, but liquidity was reduced; (2) liquidity deterioration affected more the sell than the buy side of the LOB; (3) high …-frequency activity (HFT) diminished during SSR, reinforcing volatility; (4) negative effects on liquidity and HFT diminished and … disappeared as the ban was lifted; (5) HFT unidirectionally Granger causes 1 min realized volatility while the natural logarithm …