کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960977 | 929764 | 2006 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The influence of call auction algorithm rules on market efficiency
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper analyzes the impact of call auction design on the efficiency of auction prices. On 18 March 2002, the Australian Stock Exchange introduced a new matching algorithm and began to disseminate indicative auction prices and indicative surplus volumes. The results indicate that these changes significantly enhanced call auction price efficiency, especially in active stocks at the open. The efficiency gains are greatest when call auction prices are set after considering order imbalances and market pressure. Consistent with previous research, the results also indicate significant noise in pre-open prices. As the market open approaches, this noise diminishes and price discovery occurs.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 9, Issue 2, May 2006, Pages 199-222
Journal: Journal of Financial Markets - Volume 9, Issue 2, May 2006, Pages 199-222
نویسندگان
Carole Comerton-Forde, James Rydge,