Chelley-Steeley, Patricia L. - In: Journal of Banking & Finance 32 (2008) 10, pp. 2248-2253
This paper examines the impact that the introduction of a closing call auction had on market quality at the London Stock Exchange. Using estimates from the partial adjustment with noise model of Amihud and Mendelson [Amihud, Y., Mendelson, H., 1987. Trading mechanisms and stock returns: An...