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The closing call auction is an important feature of modern markets that improves the efficiency of closing prices as a …
Persistent link: https://www.econbiz.de/10013403015
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
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
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
We exploit the shift from frequent batch auctions to continuous trading at the Taiwan Stock Exchange to show that liquidity deteriorated in large-cap and efficiency significantly improved in mid-cap and small-cap after trading became continuous. Our results reveal that the migration to the...
Persistent link: https://www.econbiz.de/10013244681
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
Auction (CA) mechanism to S&P BSE Sensex stocks and NSE Nifty stocks on 18th October 2010. The opening CA introduced to …
Persistent link: https://www.econbiz.de/10013043945
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
We investigate the relationship between latency arbitrage and trading via frequent batch auctions (FBA). We show that increases in single and cross-market latency arbitrage opportunities (LAOs) are linked to an economically meaningful increase in FBA activity, which implies that slower traders...
Persistent link: https://www.econbiz.de/10013306667
deeper and more accurately these two findings by taking Italy as a case study. Our results question the so-called auction …
Persistent link: https://www.econbiz.de/10010519950