On 1 July, 2002, the Taiwan Stock Exchange changed its closing mechanism to a five-minute call auction to limit market manipulation at day's end and enhance the fairness of the closing price. This paper examines the effect of the new closing mechanism on the behavior of attention securities and...

On July 1, 2002, the Taiwan Stock Exchange changed its closing price procedure to a five-minute call auction. This paper examines different types of trader behavior at the close before and after institution of the new mechanism. The results show that, since the new mechanism was introduced,...