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The interaction between opening call auctions and ongoing trade: Evidence from the NYSE

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  • Brooks, Raymond M.
  • Moulton, Jonathan
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    Bibliographic Info

    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 13 (2004)
    Issue (Month): 4 ()
    Pages: 341-356

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    Handle: RePEc:eee:revfin:v:13:y:2004:i:4:p:341-356

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    Web page: http://www.elsevier.com/locate/inca/620170

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    References

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    1. Madhavan, Ananth & Panchapagesan, Venkatesh, 2000. "Price Discovery in Auction Markets: A Look Inside the Black Box," Review of Financial Studies, Society for Financial Studies, vol. 13(3), pages 627-58.
    2. Gerety, Mason S & Mulherin, J Harold, 1992. " Trading Halts and Market Activity: An Analysis of Volume at the Open and the Close," Journal of Finance, American Finance Association, vol. 47(5), pages 1765-84, December.
    3. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
    4. Amihud, Yakov & Mendelson, Haim, 1987. " Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-53, July.
    5. Wood, Robert A & McInish, Thomas H & Ord, J Keith, 1985. " An Investigation of Transactions Data for NYSE Stocks," Journal of Finance, American Finance Association, vol. 40(3), pages 723-39, July.
    6. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    7. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 37-71.
    8. Lee, Jie-Haun & Lin, Ji-Chai, 1995. "Volatility and Liquidity at NYSE Opening Calls: A Closer Look," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 18(4), pages 479-93, Winter.
    9. Foster, F Douglas & Viswanathan, S, 1993. " Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models," Journal of Finance, American Finance Association, vol. 48(1), pages 187-211, March.
    10. McInish, Thomas H & Wood, Robert A, 1992. " An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks," Journal of Finance, American Finance Association, vol. 47(2), pages 753-64, June.
    11. Brock, William A. & Kleidon, Allan W., 1992. "Periodic market closure and trading volume : A model of intraday bids and asks," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489.
    12. Cushing, David & Madhavan, Ananth, 2000. "Stock returns and trading at the close," Journal of Financial Markets, Elsevier, vol. 3(1), pages 45-67, February.
    13. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
    14. Garbade, Kenneth D. & Sekaran, Chandra P., 1981. "Opening prices on the New York Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 345-355, September.
    15. Brooks, Raymond M. & Su, Tie, 1997. "A Simple Cost Reduction Strategy for Small Liquidity Traders: Trade at the Opening," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(04), pages 525-540, December.
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    Cited by:
    1. W. Paul Spurlin & Bonnie F. Van Ness & Robert Van Ness, 2012. "Short sales in the NYSE batch open and NASDAQ opening cross," International Journal of Managerial Finance, Emerald Group Publishing, vol. 8(3), pages 219-237.
    2. Chelley-Steeley, Patricia L., 2008. "Market quality changes in the London Stock Market," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2248-2253, October.
    3. Chelley-Steeley, Patricia, 2009. "Price synchronicity: The closing call auction and the London stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 777-791, December.

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