We analyze a unique data set that includes the full demand schedules of 27 Israeli IPOs that were conducted as non-discriminatory (uniform price) auctions. To the best of our knowledge, this is the first time the whole demand schedule for any asset is described. The demand schedules are...

In many stock exchanges around the world quot;batchquot; or quot;clearingquot; is used as a method of trading. Currently, an essential problem in the application of this trading mechanism is that orders in one security cannot be conditioned on prices of other securities. In this paper we propose...

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 investigate the trading of corporate bonds (c-bonds) by an open limit order book (LOB) mechanism. To do so, we use the case of the Tel Aviv Stock Exchange (TASE) as a laboratory, in which both stocks and c-bonds are traded by an LOB mechanism. Contrary to the OTC market in the US, the TASE...

Stock liquidity has improved over the recent four decades. This improvement was accompanied by a dramatic increase in trading activity. The net effect on the liquidity premium is ambiguous. We show that the characteristic liquidity premium of U.S. stocks has significantly declined over the past...

We investigate daily flows to Israeli mutual funds, which are held primarily by retail investors. We find that daily net flows are contemporaneously correlated with price changes of all government bond categories (nominal/CPI-linked; short-term, intermediate-term, and long-term maturity). These...

The study offers the most direct evidence to date on price noises in call auctions and their correction. We examine a unique sample of two identical securities (two equal-payoff Israeli government bonds) that were traded on separate yet almost simultaneous auctions on the Tel-Aviv Stock...

We investigate a proxy for monthly shifts between bond funds and equity funds in the USA: aggregate net exchanges of equity funds. This measure (which is negatively related to changes in VIX) is positively contemporaneously correlated with aggregate stock market excess returns: One standard...

We use the move of Israeli stocks from call auction trading to continuous trading to show that investors have a preference for stocks that trade continuously. When large stocks move from call auction to continuous trading, the small stocks that still trade by call auction experience a...

During a period of 14 months (August 1997-September 1998), the Tel Aviv Stock Exchange completed a gradual transition from call auctions to continuous trading. During this transition period stocks traded either in call auctions or in continuous trading mechanisms. Data from this period provides...