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Do trading rules impact on market efficiency? A comparison of opening procedures on the Australian and Jakarta Stock Exchanges

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  • Comerton-Forde, Carole

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  • Comerton-Forde, Carole, 1999. "Do trading rules impact on market efficiency? A comparison of opening procedures on the Australian and Jakarta Stock Exchanges," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 495-521, December.
    • Handle: RePEc:eee:pacfin:v:7:y:1999:i:5:p:495-521
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    1. Schnitzlein, Charles R, 1996. "Call and Continuous Trading Mechanisms under Asymmetric Information: An Experimental Investigation," Journal of Finance, American Finance Association, vol. 51(2), pages 613-636, June.
    2. Chang, Rosita P. & Ghon Rhee, S. & Soedigno, Susatio, 1995. "Price volatility of Indonesian stocks," Pacific-Basin Finance Journal, Elsevier, vol. 3(2-3), pages 337-355, July.
    3. Madhavan, Ananth, 1992. "Trading Mechanisms in Securities Markets," Journal of Finance, American Finance Association, vol. 47(2), pages 607-641, June.
    4. Amihud, Yakov & Mendelson, Haim, 1991. "Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market," Journal of Finance, American Finance Association, vol. 46(5), pages 1765-1789, December.
    5. Rosita P. Chang & Shuh‐Tzy Hsu & Nai‐Kuan Huang & S. Ghon Rhee, 1999. "The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1‐2), pages 137-170, January.
    6. Choe, Hyuk & Sik Shin, Hung, 1993. "An analysis of interday and intraday return volatility - evidence from the Korea Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 1(2), pages 175-188, May.
    7. Amihud, Yakov & Mendelson, Haim, 1987. "Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-553, July.
    8. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 37-71.
    9. Rosita P. Chang & Shuh-Tzy Hsu & Nai-Kuan Huang & S. Ghon Rhee, 1999. "The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(1-2), pages 137-170.
    10. Roll, Richard, 1984. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-1139, September.
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    Cited by:

    1. Ainsworth, Andrew & Lee, Adrian D., 2014. "Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia," Journal of Financial Markets, Elsevier, vol. 20(C), pages 101-128.
    2. Comerton-Forde, Carole & Rydge, James, 2006. "The current state of Asia-Pacific stock exchanges: A critical review of market design," Pacific-Basin Finance Journal, Elsevier, vol. 14(1), pages 1-32, January.
    3. Carlos Castro & Diego A. Agudelo & Sergio Preciado, 2018. "Measuring the effectiveness of volatility auctions," Documentos de Trabajo CIEF 16988, Universidad EAFIT.
    4. Gernot Hinterleitner & Philipp Hornung & Ulrike Leopold-Wildburger & Roland Mestel & Stefan Palan, 2012. "A Good Beginning Makes a Good Market: The Effect of Different Market Opening Structures on Market Quality," Working Paper Series, Social and Economic Sciences 2012-01, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
    5. Selma Boussetta, 2017. "The role of pre-opening mechanisms in fragmented markets," Post-Print hal-02156145, HAL.
    6. Humphery-Jenner, Mark L., 2011. "Optimal VWAP trading under noisy conditions," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2319-2329, September.
    7. Silvio John Camilleri & Christopher J. Green, 2004. "The Impact of the Suspension of Opening and Closing Call," Finance 0411012, University Library of Munich, Germany.
    8. Silvio John Camilleri, 2015. "The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 44-53, April.
    9. Tomas Dvorak, 2001. "Do Domestic Investors Have an Information Advantage? Evidence from Indonesia," Center for Development Economics 168, Department of Economics, Williams College.
    10. Camilleri, Silvio John, 2006. "Strategic Priorities for Stock Exchanges in New EU Member States," MPRA Paper 62494, University Library of Munich, Germany.
    11. Comerton-Forde, Carole & Ting Lau, Sie & McInish, Thomas, 2007. "Opening and closing behavior following the introduction of call auctions in Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 15(1), pages 18-35, January.
    12. Silvio John Camilleri & Christopher J. Green, 2009. "The impact of the suspension of opening and closing call auctions: evidence from the National Stock Exchange of India," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(3), pages 257-284.
    13. Michael Aitken & Carole Comerton‐Forde & Alex Frino, 2005. "Closing call auctions and liquidity," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(4), pages 501-518, December.
    14. Yang, Joey Wenling, 2011. "Transaction duration and asymmetric price impact of trades--Evidence from Australia," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 91-102, January.
    15. Chan, K. & Karolyi, G. A. & Rhee, S. G., 2002. "A retrospective evaluation of the Pacific-Basin Finance Journal: 1993-2002," Pacific-Basin Finance Journal, Elsevier, vol. 10(5), pages 497-516, November.
    16. Koesrindartoto, Deddy P. & Aaron, Aurelius & Yusgiantoro, Inka & Dharma, Wirata A. & Arroisi, Abdurrohman, 2020. "Who moves the stock market in an emerging country – Institutional or retail investors?," Research in International Business and Finance, Elsevier, vol. 51(C).
    17. Diego A. Agudelo & Sergio Preciado & Carlos Castro, 2018. "Measuring the effectiveness of volatility auctions," Documentos de Trabajo CIEF 16943, Universidad EAFIT.

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