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The Impact of the Suspension of Opening and Closing Call

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Author Info
Silvio John Camilleri (Banking & Finance Dept., FEMA, University of Malta)
Christopher J. Green (Economics Dept., Loughborough University)

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Abstract

The paper analyses the impact of the suspension of opening and closing call auctions by the National Stock Exchange of India in 1999. We compare volatility, efficiency and liquidity (VEL) of securities before and after suspension, and estimate the value of the auctions using an event study. Following suspension, VEL improved and the CARs were significant but not uniformly positive or negative. We also find that less liquid stocks traded less in the auctions than other securities, especially at the opening, and they experienced the most gains following suspension. This is consistent with there being liquidity externalities associated with auctions, a point previous noted for industrial countries. We conclude that opening and closing call auctions may not necessarily improve share trading in a less liquid emerging market.

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Publisher Info
Paper provided by EconWPA in its series Finance with number 0506006.

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Length: 38 pages
Date of creation: 07 Jun 2005
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Handle: RePEc:wpa:wuwpfi:0506006

Note: Type of Document - pdf; pages: 38
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Web page: http://129.3.20.41

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Related research
Keywords: Call Auctions; stock markets; National Stock Exchange of India;

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Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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