Article ID Journal Published Year Pages File Type
961023 Journal of Financial Markets 2012 24 Pages PDF
Abstract
► Many stock exchanges have switched from a fixed to a random opening time. ► We study how this affected the price discovery process on Tel Aviv Stock Exchange. ► Randomization improved price discovery, especially on derivatives expiration dates. ► Randomization reduced excess volatility and distortion of opening stock prices. ► A random opening time is an effective way to deal with derivatives and illiquidity.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
The effects of randomizing the opening time on the performance of a stock market under stress
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