The interaction between opening call auctions and ongoing trade: Evidence from the NYSE
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- Madhavan, Ananth & Panchapagesan, Venkatesh, 2000. "Price Discovery in Auction Markets: A Look Inside the Black Box," Review of Financial Studies, Society for Financial Studies, vol. 13(3), pages 627-58.
- Lee, Jie-Haun & Lin, Ji-Chai, 1995. "Volatility and Liquidity at NYSE Opening Calls: A Closer Look," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(4), pages 479-93, Winter.
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