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Do Short Selling Restrictions Destabilize Stock Markets? Lessons from Taiwan

Bohl, Martin T. - 2011

Taiwan provides an interesting case study of the impact of short selling bans on stock returns volatility in a time series … volatility. The only qualifier is that the impact of short sale bans is a feature of the expansionary phase of business cycles …

Persistent link: https://www.econbiz.de/10013126007

Information revelation in the Greek exchange opening call : daily and intraday evidence

Anagnostidis, Panagiotis; Kanas, Angelos; Papachristou, … - In: Journal of international financial markets, … 38 (2015), pp. 167-184

Persistent link: https://www.econbiz.de/10011475189

Market abuse under different close price determination mechanisms : a European case

Alexakis, Christos A.; Pappas, Vasileios; Skarmeas, … - In: International review of financial analysis 74 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012803939

Closing price manipulation in Borsa Istanbul and the impact of call auction sessions

Kadioglu, Eyup; Kucukkocaoglu, Guray; Kilic, Saim - 2021

implemented closing call auction sessions on March 2, 2012. This study tests the effect of closing call auction sessions on … of closing call auction sessions. The data show a significant elimination in closing price manipulation following the … implementation of closing call auction sessions …

Persistent link: https://www.econbiz.de/10014361511

Opening and Closing Price Efficiency : Do Financial Markets Need the Call Auction?

Ibikunle, Gbenga - 2016

opening auction only relates to low volume stocks. Low volume stock traders avoid trading until the open; this seems connected … to their evading the informed trading-dominated opening auction. For the largest volume stocks, the opening auction …

Persistent link: https://www.econbiz.de/10013006656

The Informational Content of Limit Order Distributions During Market Auctions

Platania, Federico - 2016

companies exhibits a significant reduction of the noise during the auction …

Persistent link: https://www.econbiz.de/10012994826

Closing Auctions : Information Content and Timeliness of Price Reaction

Wu, Yanbin; Jegadeesh, Narasimhan - 2021

Closing auction volume steadily increased over the last decade and it reached a peak of about 10% of the total trading … volume in 2019. We examine the price impact and resiliency of closing auctions, and we compare closing auction liquidity in …

Persistent link: https://www.econbiz.de/10013211327

Coming early to the party

Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2017 - This Version: September 15, 2017

We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction …

Persistent link: https://www.econbiz.de/10011723400

IPO underpricing and aftermarket price accuracy : auctions vs. bookbuilding in Japan

Lehmann, Timo; Weber, Matthias - 2021

We analyse a regulatory change in the Japanese IPO market that created an abrupt shift from hybrid price-discriminatory auctions to bookbuilding. We find that bookbuilding leads to significantly higher underpricing than hybrid price-discriminatory auctions. Further, we find evidence that price...

Persistent link: https://www.econbiz.de/10012426822

Closing Auction, Passive Investing, and Stock Prices

Wu, Yanbin - 2019

Over the last decade, the volume of market-on-close orders has increased to more than 10% of the entire day's trading volume. This paper investigates this rise and documents four stylized facts: (i) passive investing leads to greater usage of market-on-close orders, consistent with passive...

Persistent link: https://www.econbiz.de/10012864385