Call auctions : A solution to some difficulties in Indian finance
AbstractThe Indian financial system has been revolutionised by the application of a new market design : continuous trading with an anonymous limit order book at NSE and BSE. However, in certain situations, this market design has limitations. Call auctions represent an alternative strategy, where the order flow over a certain time period is pooled, and the market-clearing price obtained through an aggregated supply and demand curve. Call auctions trade off instantaneity of order execution in favour of elimination of impact cost, and can achieve a more trusted price. They can improve the functioning of the market on issues such as market opening, market close, extreme news events, and potentially for illiquid securities including bonds. Call auctions could usefully replace some existing market rules such as `circuit breakers\'. At the same time, there are many subtle elements in making a call auction market work, which require care in market design.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by East Asian Bureau of Economic Research in its series Finance Working Papers with number 23028.
Date of creation: Jan 2010
Date of revision:
Contact details of provider:
Postal: JG Crawford Building #13, Asia Pacific School of Economics and Government, Australian National University, ACT 0200
Web page: http://www.eaber.org
More information through EDIRC
Market microstructure; call auctions; illiquid securities; circuit breakers;
Other versions of this item:
- 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.
- Susan Thomas, 2010. "Call Auctions: A Solution to Some Difficulties in Indian Finance," Working Papers id:2597, eSocialSciences.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G19 - Financial Economics - - General Financial Markets - - - Other
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.:
- Maria Kasch-Haroutounian & Erik Theissen, 2009.
"Competition between Exchanges: Euronext versus Xetra,"
European Financial Management,
European Financial Management Association, vol. 15(1), pages 181-207.
- Kasch-Haroutounian, Maria & Theissen, Erik, 2006. "Competition between exchanges: Euronext versus Xetra," CFR Working Papers 07-10, University of Cologne, Centre for Financial Research (CFR).
- Kasch-Haroutounian, Maria & Theissen, Erik, 2006. "Competition between exchanges: Euronext versus Xetra," CFS Working Paper Series 2007/19, Center for Financial Studies (CFS).
- Madhavan, Ananth, 1992.
" Trading Mechanisms in Securities Markets,"
Journal of Finance,
American Finance Association, vol. 47(2), pages 607-41, June.
- Ananth N. Madhavan, . "Trading Mechanisms in Securities Markets," Rodney L. White Center for Financial Research Working Papers 16-90, Wharton School Rodney L. White Center for Financial Research.
- Andrew Ellul & Hyun Song Shin & Ian Tonks, 2004.
"Opening and closing the market: evidence from the London Stock Exchange,"
LSE Research Online Documents on Economics
24753, London School of Economics and Political Science, LSE Library.
- Ellul, Andrew & Shin, Hyun Song & Tonks, Ian, 2005. "Opening and Closing the Market: Evidence from the London Stock Exchange," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(04), pages 779-801, December.
- 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.
- Huang, Yu Chuan, 2004. "The market microstructure and relative performance of Taiwan stock index futures: a comparison of the Singapore exchange and the Taiwan futures exchange," Journal of Financial Markets, Elsevier, vol. 7(3), pages 335-350, June.
- Christopher Battig & Patricia Chelley-Steeley, 2010. "The impact of the closing call auction: an examination of effects in London," Applied Financial Economics, Taylor & Francis Journals, vol. 20(4), pages 303-315.
- Henke, Harald & Voronkova, Svitlana, 2005. "Price limits on a call auction market: Evidence from the Warsaw Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 14(4), pages 439-453.
- Carole Comerton-Forde & James Rydge & Hayley Burridge, 2007. "Not all call auctions are created equal: evidence from Hong Kong," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 395-413, November.
- Bruce Mizrach & Christopher J. Neely, 2006. "The transition to electronic communications networks in the secondary treasury market," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 527-542.
Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- India's privatisation problem
by Ajay Shah in Ajay Shah's blog on 2011-06-10 19:47:00
- Indias Privatisation Problem
by Ajay Shah in Citizen Economists on 2011-06-13 11:40:34
- Obtaining liquidity for illiquid stocks
by Ajay Shah in Ajay Shah's blog on 2013-04-06 12:24:00
- Obtaining liquidity for illiquid stocks
by Ajay Shah in Citizen Economists on 2013-04-08 17:00:45
- Nidhi Aggarwal & Susan Thomas, 2011. "When do stock futures dominate price discovery," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2011-016, Indira Gandhi Institute of Development Research, Mumbai, India.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shiro Armstrong).
If references are entirely missing, you can add them using this form.