The present study contributes to the ongoing debate on possible costs and benefits of insider trading. We present a novel call auction model with insider information. Our model predicts that more insider information improves informational efficiency of prices, but this comes at the expense of...

The closing call auction is an important feature of modern markets that improves the efficiency of closing prices as a benchmark. We examine the effects of COVID-19 on closing price dislocation – with a specific focus on the role of high-frequency and retail traders on closing price...

Hong Kong introduced the Closing Auction Session (CAS) to the HKEX securities market in 2016. Under the CAS, trading is extended by an extra 8-10 minutes after the daily trading session ends at 16:00 to determine the closing price for the day. Trading under the CAS is in the form of a single...

Most treasuries around the world sell their securities at auctions either directly or indirectly through an agent, usually the central bank. Although they can control both the rules and the timing of the auction, they may not be able to control the information and valuations of bidders. The...