The purchase of Hang Seng Index component stocks by the Hong Kong government has an immediate effect of reducing the daily trading volume for the 33 stocks involved, which, in turn, leads to a reduction in volatility in the stock market. However, once we account for the effect of a decline in...

This is a preliminary draft of an Invited Symposium paper for the World Congress of the Econometric Society to be held in Seattle in August 2000. We discuss the strong connections between auction theory and 'standard' economic theory, and argue that auction-theoretic tools and intuitions can...

The purchase of Hang Seng Index component stocks by the Hong Kong government has an immediate effect of reducing the daily trading volume for the 33 stocks involved, which, in turn, leads to a reduction in volatility in the stock market. However, once we account for the effect of a decline in...