This paper analyzes a call market that enables conditioning not only on an asset price, but also on an index (a weighted average of stock prices) that is determined simultaneously with the prices of all assets. We compare two trading systems, with and without index-conditioning, and find that in...

This paper analyzes a unique data set of IPOs that were conducted as non-discriminatory (i.e., uniform price) auctions. Our data include the full demand schedules for auctioned IPOs conducted in Israel. To the best of our knowledge, this is the first time the whole demand schedule for any asset...

We show that estimating the demand and supply elasticity at the opening stage at the Tel Aviv Stock Exchange is highly sensitive to which of the reasonable measures is used. We compare the estimated elasticity of excess demand at the opening to the elasticity measured during the continuous...

We develop a measure (based on the relative slopes of the demand and supply schedules) quantifying the asymmetric presence of liquidity traders in the market: a steeper slope of the demand (supply) schedule indicates a concentration of liquidity traders on the demand (supply) side. Using the...