In adverse-selection models of security market microstructure, a market-maker could enhance efficieny if he were willing to sustain short-term trading losses. We show that this deniable activity, which we term quot;facilitationquot;, can be supported as a self-enforcing agreement between...

The present paper examines the impact of closing call auctions on liquidity. It exploits the natural experiment offered by the introduction of a closing call auction on the Australian Stock Exchange on 10 February 1997. The introduction of the closing call auction is associated with a reduction...