novel call auction model with insider information. Our model predicts that more insider information improves informational … of insider information the call auction performs worse than continuous double auction. Testing these hypotheses in the … lab we find that insider information increases informational efficiency of call auction prices but does not decrease the …

We examine the strategic behavior of High Frequency Traders (HFTs) during the pre-opening phase and the opening auction …

The closing call auction is an important feature of modern markets that improves the efficiency of closing prices as a …

auction in the pre-open session from 18 October 2010. This paper analyzes the impact of introduction of pre-open call auction … result shows a decline in the market model R2 for both opening and closing returns of stocks forming the part of call auction … and also control sample. However, the magnitude of decline is less in the opening prices for the call auction stocks …

In recent years major financial exchanges have introduced Frequent Batch Auctions (FBAs) as a novel automated auction … mechanism for matching buyers and sellers of various types of asset, in contrast to the traditional Continuous Double Auction …