Ellul, Andrew; Shin, Hyun Song; Tonks, Ian - In: Journal of Financial and Quantitative Analysis 40 (2005) 04, pp. 779-801
We investigate the performance of call markets at the open and close using a unique natural experiment provided by the London Stock Exchange where traders can choose between a call and an off-exchange dealership system. Although the call market dominates dealers in terms of price discovery, it...