The impact of the closing call auction: an examination of effects in London
AbstractThis article examines the impact on market quality that the introduction of a closing call auction had at the London Stock Exchange (LSE). Using the market model approach of Cohen et al. (1983a, b) we show that opening and closing market quality improved for those Financial Times and Stock Exchange 100 (FTSE 100) securities participating in the closing call. A control sample of stocks is not characterized by discernable changes to market quality.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 20 (2010)
Issue (Month): 4 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
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- Susan Thomas, 2010.
"Call auctions : A solution to some difficulties in Indian finance,"
Finance Working Papers
23028, East Asian Bureau of Economic Research.
- Susan Thomas, 2010. "Call Auctions: A Solution to Some Difficulties in Indian Finance," Working Papers id:2597, eSocialSciences.
- Susan Thomas, 2010. "Call auctions: A Solution to some difficulties in Indian finance," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2010-006, Indira Gandhi Institute of Development Research, Mumbai, India.
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