To reduce market volatility observed at the close of trading and to enhance the fairness of the closing price, the Taiwan Stock Exchange (TSE) changed the way it executed its closing transactions by instituting a five-minute closing call auction. This paper examines the effectiveness of this new...

This paper analyzes the implications of pre-trade transparency on market performance. In competitive markets, transparency increases market liquidity and reduces price volatility, whereas these results may not hold under imperfect competition. More importantly, market depth and volatility might...

The trading systems used on financial markets differ in terms of matching procedures, selected norms to write contracts, existence or not of intermediaries to ensure liquidity, market transparency... We are interested in measuring the direct effect on market specifics of a matching procedure...