Call auctions: A Solution to some difficulties in Indian finance
The Indian financial system has been revolutionised by the application of a new market design: continuous trading with an anonymous limit order book at NSE and BSE. However, in certain situations, this market design has limitations. Call auctions represent an alternative strategy, where the order flow over a certain time period is pooled, and the market-clearing price obtained through an aggregated supply and demand curve. Call auctions trade off instantaneity of order execution in favour of elimination of impact cost, and can achieve a more trusted price. They can improve the functioning of the market on issues such as market opening, market close, extreme news events, and potentially for illiquid securities including bonds. Call auctions could usefully replace some existing market rules such as `circuit breakers\'. At the same time, there are many subtle elements in making a call auction market work, which require care in market design.
|Date of creation:||Jun 2010|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (022) 840 0919/20/21
Fax: (022) 840 2752/2026
Web page: http://www.igidr.ac.in
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Henke, Harald & Voronkova, Svitlana, 2005. "Price limits on a call auction market: Evidence from the Warsaw Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 14(4), pages 439-453.
- Hyun Song Shin & Ian Tonks & Andrew Ellul, 2004.
"Opening and Closing the Market: Evidence from the London Stock Exchange,"
FMG Discussion Papers
dp506, Financial Markets Group.
- Ellul, Andrew & Shin, Hyun Song & Tonks, Ian, 2005. "Opening and Closing the Market: Evidence from the London Stock Exchange," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(04), pages 779-801, December.
- Andrew Ellul & Hyun Song Shin & Ian Tonks, 2004. "Opening and closing the market: evidence from the London Stock Exchange," LSE Research Online Documents on Economics 24753, London School of Economics and Political Science, LSE Library.
- 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.
- Carole Comerton-Forde & James Rydge & Hayley Burridge, 2007. "Not all call auctions are created equal: evidence from Hong Kong," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 395-413, November.
- Ananth N. Madhavan, .
"Trading Mechanisms in Securities Markets,"
Rodney L. White Center for Financial Research Working Papers
16-90, Wharton School Rodney L. White Center for Financial Research.
- Kasch-Haroutounian, Maria & Theissen, Erik, 2006.
"Competition between exchanges: Euronext versus Xetra,"
CFS Working Paper Series
2007/19, Center for Financial Studies (CFS).
- Maria Kasch-Haroutounian & Erik Theissen, 2009. "Competition between Exchanges: Euronext versus Xetra," European Financial Management, European Financial Management Association, vol. 15(1), pages 181-207.
- Kasch-Haroutounian, Maria & Theissen, Erik, 2006. "Competition between exchanges: Euronext versus Xetra," CFR Working Papers 07-10, University of Cologne, Centre for Financial Research (CFR).
- Bruce Mizrach & Christopher J. Neely, 2006. "The transition to electronic communications networks in the secondary treasury market," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 527-542.
- Comerton-Forde, Carole & Rydge, James, 2006. "The influence of call auction algorithm rules on market efficiency," Journal of Financial Markets, Elsevier, vol. 9(2), pages 199-222, May.
- Christopher Battig & Patricia Chelley-Steeley, 2010. "The impact of the closing call auction: an examination of effects in London," Applied Financial Economics, Taylor & Francis Journals, vol. 20(4), pages 303-315.
When requesting a correction, please mention this item's handle: RePEc:ind:igiwpp:2010-006. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamprasad M. Pujar)
If references are entirely missing, you can add them using this form.