Opening and closing behavior following the introduction of call auctions in Singapore

The Singapore Exchange introduced opening and closing call auctions in August 2000. We find that the frequency of call trades is lower than on other markets. However, when auctions are used, the percentage of daily volume traded in the auction is high. Many days without call trades have quotes during the pre-call periods so that there is an opportunity for learning about equilibrium prices even when there are no call trades. Consistent with prior research, the introduction of call auctions enhances market quality at the open and the close. The call auctions also helped to address the issues that motivated their introduction in Singapore. That is, they increased the volume traded at the opening in initial public offerings and reduced the incidence of closing price manipulation.