Advanced Search
MyIDEAS: Login

Call auctions : A solution to some difficulties in Indian finance

Contents:

Author Info

  • Susan Thomas

    (Indira Gandhi Institute of Development Research)

Abstract

The 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 Info

If 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.
File URL: http://www.eaber.org/node/23028
Download Restriction: no

Bibliographic Info

Paper provided by East Asian Bureau of Economic Research in its series Finance Working Papers with number 23028.

as in new window
Length:
Date of creation: Jan 2010
Date of revision:
Handle: RePEc:eab:financ:23028

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

Related research

Keywords: Market microstructure; call auctions; illiquid securities; circuit breakers;

Other versions of this item:

Find related papers by JEL classification:

References

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.:
as in new window
  1. 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.
  2. Madhavan, Ananth, 1992. " Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-41, June.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
Full references (including those not matched with items on IDEAS)

Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. India's privatisation problem
    by Ajay Shah in Ajay Shah's blog on 2011-06-10 19:47:00
  2. India’s Privatisation Problem
    by Ajay Shah in Citizen Economists on 2011-06-13 11:40:34
  3. Obtaining liquidity for illiquid stocks
    by Ajay Shah in Ajay Shah's blog on 2013-04-06 12:24:00
  4. Obtaining liquidity for illiquid stocks
    by Ajay Shah in Citizen Economists on 2013-04-08 17:00:45
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. 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.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eab:financ:23028. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shiro Armstrong).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.