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Opening and Closing Price Efficiency : Do Financial Markets Need the Call Auction?

Ibikunle, Gbenga - 2016

opening auction only relates to low volume stocks. Low volume stock traders avoid trading until the open; this seems connected … to their evading the informed trading-dominated opening auction. For the largest volume stocks, the opening auction …

Persistent link: https://www.econbiz.de/10013006656

Treasury auctions and secondary market dynamics : an analysis based on the MTS market for Italy

Cafiso, Gianluca - 2015

deeper and more accurately these two findings by taking Italy as a case study. Our results question the so-called auction …

Persistent link: https://www.econbiz.de/10010519950

Information content of stocks in call auction of shorter duration in emerging market

Bag, Dinabandhu - In: Copernican Journal of Finance & Accounting : CJF&A 8 (2019) 4, pp. 113-132

Persistent link: https://www.econbiz.de/10012242098

Macroeconomic news and treasury futures return volatility : do treasury auctions matter?

Smales, L. A. - In: Global finance journal 48 (2021), pp. 1-30

Persistent link: https://www.econbiz.de/10012886875

Trade, equilibrium prices and rents in European auctions for emission allowances

Bosco, Bruno - In: Environmental economics and policy studies : the … 25 (2023) 1, pp. 87-113

Persistent link: https://www.econbiz.de/10013494107

Auction Designs and Futures Price Behavior : Evidence from the Taiwan Futures Market

Lee, Hsiu-Chuan - 2012

This paper analyzes the impact of the transfer from a call auction to continuous trading on futures price behavior … liquidity when the TAIFEX transfers from a call auction to continuous trading. Additionally, this paper finds that the relative … that auction designs have impact on futures price behavior …

Persistent link: https://www.econbiz.de/10013106853

Measuring the Effectiveness of Volatility Auctions

Castro, Carlos - 2019

build a credible counterfactual that approximates the behavior of the asset if the auction had not taken place. The main … results indicate that the volatility auction mitigates the volatility of the asset, but its effect on liquidity and trading …

Persistent link: https://www.econbiz.de/10012897016

Do cal auctions curtail price volatility? : evidence form the National Stock Exchange of India

Camilleri, Silvio John - In: Managerial finance 41 (2015) 1, pp. 67-79

Persistent link: https://www.econbiz.de/10010496753

Opening and closing price efficiency : do financial markets need the call auction?

Ibikunle, Gbenga - In: Journal of international financial markets, … 34 (2015), pp. 208-227

Persistent link: https://www.econbiz.de/10011474516

Price volatility in the secondary market and bidders' heterogeneous behavior in Spanish Treasury auctions

Alvarez González, Francisco; Mazón, Cristina - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1435-1466

Persistent link: https://www.econbiz.de/10011481719