Not all call auctions are created equal: evidence from Hong Kong

Not all call auctions are created equal: evidence from Hong Kong On 25 March 2002, the Hong Kong Exchanges and Clearing Ltd (HKEx) introduced an opening call auction. This trading mechanism is designed to facilitate price discovery in the presence of asymmetric information at the market open, increasing opening price efficiency. The design of the HKEx differs significantly from opening auctions in other markets. Contrary to previous research, the results indicate a decrease in market quality following the introduction of the opening call auction. This decline is largest in the less actively traded stocks. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Not all call auctions are created equal: evidence from Hong Kong

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Publisher
Springer US
Copyright
Copyright © 2007 by Springer Science+Business Media, LLC
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-007-0036-9
Publisher site
See Article on Publisher Site

Abstract

On 25 March 2002, the Hong Kong Exchanges and Clearing Ltd (HKEx) introduced an opening call auction. This trading mechanism is designed to facilitate price discovery in the presence of asymmetric information at the market open, increasing opening price efficiency. The design of the HKEx differs significantly from opening auctions in other markets. Contrary to previous research, the results indicate a decrease in market quality following the introduction of the opening call auction. This decline is largest in the less actively traded stocks.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Oct 23, 2007

References

  • Closing call auctions and liquidity
    Aitken, M; Comerton-Forde, C; Frino, A
  • Trading mechanisms and stock returns: an empirical investigation
    Amihud, Y; Mendelson, H
  • Volatility, efficiency and trading: evidence from the Japanese stock market
    Amihud, Y; Mendelson, H

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