Call Auctions: A Solution to Some Difficulties in Indian Finance
AbstractCall auctions represent an alternative strategy, where the order ow 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. [Working Paper No. 2010-006].
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Date of creation: Jun 2010
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securities; bonds; call auctions; market; demand curve; Market microstructure; illiquid securities; circuit breakers; market; supply; clearing price;
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," Finance Working Papers 23028, East Asian Bureau of Economic Research.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G19 - Financial Economics - - General Financial Markets - - - Other
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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
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