The Securities and Exchange Board of India (SEBI) introduced opening call auction (CA) on 18th October 2010 to S&P BSE Sensex stocks. The objectives of CA are to increase the price discovery in the opening session, minimize the opening volatility and to reflect the overnight market related...

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...