The Impact of the Suspension of Opening and Closing Call
AbstractThe 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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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0506006.
Length: 38 pages
Date of creation: 07 Jun 2005
Date of revision:
Note: Type of Document - pdf; pages: 38
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Call Auctions; stock markets; National Stock Exchange of India;
Other versions of this item:
- Silvio John Camilleri & Christopher J. Green, 2004. "The Impact of the Suspension of Opening and Closing Call," Finance 0411012, EconWPA.
- 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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