کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5084823 1477914 2015 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Impact of the introduction of call auction on price discovery: Evidence from the Indian stock market using high-frequency data
ترجمه فارسی عنوان
تاثیر معرفی حراج تماس بر روی قیمت کشف: شواهد از بازار سهام هند با استفاده از داده های فرکانس بالا
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
Call markets are claimed to aggregate information and facilitate price discovery where continuous markets may fail. The impact of the introduction of call auction has not been found uniformly beneficial, possibly due to poor design or due to 'thick market externalities'. This paper examines the reintroduction of opening call auction at the National Stock Exchange of India in 2010. The results suggest that the auctions attract very little volume, the intraday pattern of volume and volatility in the continuous market remains unchanged and a large fraction of price discovery, measured by the Weighted Price Contribution, still takes place in the first 15 min of continuous market. However, the market synchronicity has improved after the introduction of the auction. Our findings suggest that the ability to attract volume in the call auction for effective price discovery depends on the institutional settings and the characteristics of liquidity supply in the market.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 39, May 2015, Pages 167-178
نویسندگان
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