The switch from continuous to call auction trading in response to a large intraday price movement
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- Juan C Reboredo, 2011. "The Switch from Continuous to Call Auction Trading in Response to a Large Intraday Price Movement," Post-Print hal-00667598, HAL.
References listed on IDEAS
- Virginia G. France & Laura E. Kodres & James T. Moser, 1994. "A review of regulatory mechanisms to control the volatility of prices," Economic Perspectives, Federal Reserve Bank of Chicago, issue Nov, pages 15-28.
- Fong, Wai-Ming, 1996. "New York Stock Exchange trading halts and volatility," International Review of Economics & Finance, Elsevier, vol. 5(3), pages 243-257.
- Amihud, Yakov & Mendelson, Haim & Murgia, Maurizio, 1990. "Stock market microstructure and return volatility : Evidence from Italy," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 423-440, August.
- 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.
- Shane A. Corwin & Marc L. Lipson, 2000. "Order Flow and Liquidity around NYSE Trading Halts," Journal of Finance, American Finance Association, vol. 55(4), pages 1771-1805, August.
- William G. Christie & Shane A. Corwin & Jeffrey H. Harris, 2002. "Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs," Journal of Finance, American Finance Association, vol. 57(3), pages 1443-1478, June.
- 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.
- Bruno Biais & Pierre Hillion & Chester Spatt, 1999. "Price Discovery and Learning during the Preopening Period in the Paris Bourse," Journal of Political Economy, University of Chicago Press, vol. 107(6), pages 1218-1248, December.
- Roger Edelen & Simon Gervais, 2003. "The Role of Trading Halts in Monitoring a Specialist Market," Review of Financial Studies, Society for Financial Studies, vol. 16(1), pages 263-300.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Carlos Castro & Diego Agudelo & Sergio Preciado, 2017. "Measuring the effectiveness of volatility call auctions," DOCUMENTOS DE TRABAJO 015498, UNIVERSIDAD DEL ROSARIO.
- repec:eee:ememar:v:33:y:2017:i:c:p:79-89 is not listed on IDEAS
- 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.
- Camilleri, Silvio John, 2015. "The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension," MPRA Paper 63240, University Library of Munich, Germany, revised 2015.
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