This empirical study examines the impact of opening Call Auction (CA) on price discovery of BSE Sensex stocks. CA was introduced on BSE Sensex stocks on October 18, 2010. The objectives of CA are to increase the price efficiency in the opening session, minimize the volatility and to make prices...

The Bombay Stock Exchange of India Ltd (BSE) and National Stock Exchanges of India Ltd (NSE) introduced opening Call Auction (CA) mechanism to S&P BSE Sensex stocks and NSE Nifty stocks on 18th October 2010. The opening CA introduced to increase the price discovery, reduce the volatility, and to...