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Switching to a temporary call auction in times of high uncertainty

Author

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  • David Abad
  • Roberto Pascual

Abstract

CONTENTS: In this paper, the properties of the switching mechanism proposed by Madhavan in 1992 are tested using data from the Spanish Stock Exchange (SSE). The SSE implements rule-based call auctions to stabilise prices. On the positive side, the authors find there is price learning during the auction. On the negative side, they conclude rule-based auctions do not calm the market and do not reduce information asymmetries, except for small caps. The findings suggest the switching mechanism performs better with thinly traded stocks.

Suggested Citation

  • David Abad & Roberto Pascual, 2007. "Switching to a temporary call auction in times of high uncertainty," CNMV Working Papers CNMV Working Papers no. 1, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    • Handle: RePEc:cnv:wpaper:dt_19en
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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