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Not all call auctions are created equal: evidence from Hong Kong

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Author Info
Carole Comerton-Forde ()
James Rydge
Hayley Burridge
Abstract

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File URL: http://hdl.handle.net/10.1007/s11156-007-0036-9
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Publisher Info
Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

Volume (Year): 29 (2007)
Issue (Month): 4 (November)
Pages: 395-413
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:rqfnac:v:29:y:2007:i:4:p:395-413

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Web page: http://springerlink.metapress.com/link.asp?id=102990

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Related research
Keywords: Call auction; Auction design; Price efficiency; G14;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Madhavan, Ananth & Panchapagesan, Venkatesh, 2000. "Price Discovery in Auction Markets: A Look Inside the Black Box," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 13(3), pages 627-58.
  2. Michael Aitken & Carole Comerton-Forde & Alex Frino, 2005. "Closing call auctions and liquidity," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(4), pages 501-518. [Downloadable!] (restricted)
  3. Hyun Song Shin & Ian Tonks & Andrew Ellul, 2004. "Opening and Closing the Market: Evidence from the London Stock Exchange," FMG Discussion Papers dp506, Financial Markets Group. [Downloadable!] (restricted)
    Other versions:
  4. Muscarella, Chris J. & Piwowar, Michael S., 2001. "Market microstructure and securities values: : Evidence from the Paris Bourse," Journal of Financial Markets, Elsevier, vol. 4(3), pages 209-229, June. [Downloadable!] (restricted)
  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. [Downloadable!] (restricted)
  6. 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. [Downloadable!] (restricted)
  7. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 3(1), pages 37-71. [Downloadable!] (restricted)
  8. Comerton-Forde, Carole & Rydge, James, 2006. "The influence of call auction algorithm rules on market efficiency," Journal of Financial Markets, Elsevier, vol. 9(2), pages 199-222, May. [Downloadable!] (restricted)
  9. Bruno Biais & Pierre Hillion & Chester Spatt, 1999. "Price Discovery and Learning during the Preopening Period in the Paris Bourse," Journal of Political Economy, University of Chicago Press, vol. 107(6), pages 1218-1248, December. [Downloadable!] (restricted)
  10. Cohen, Kalman J. & Hawawini, Gabriel A. & Maier, Steven F. & Schwartz, Robert A. & Whitcomb, David K., 1983. "Friction in the trading process and the estimation of systematic risk," Journal of Financial Economics, Elsevier, vol. 12(2), pages 263-278, August. [Downloadable!] (restricted)
  11. Madhavan, Ananth, 1992. " Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-41, June. [Downloadable!] (restricted)
    Other versions:
  12. Kehr, Carl-Heinrich & Krahnen, Jan P. & Theissen, Erik, 2001. "The Anatomy of a Call Market," Journal of Financial Intermediation, Elsevier, vol. 10(3-4), pages 249-270, July. [Downloadable!] (restricted)
  13. Comerton-Forde, Carole & Ting Lau, Sie & McInish, Thomas, 2007. "Opening and closing behavior following the introduction of call auctions in Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 15(1), pages 18-35, January. [Downloadable!] (restricted)
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