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The Impact of the Suspension of Opening and Closing Call

Author

Listed:
  • Silvio John Camilleri

    (Banking & Finance Dept., FEMA, University of Malta)

  • Christopher J. Green

    (Economics Dept., Loughborough University)

Abstract

The paper analyses the impact of the suspension of opening and closing call auctions by the National Stock Exchange of India in 1999. We compare volatility, efficiency and liquidity (VEL) of securities before and after suspension, and estimate the value of the auctions using an event study. Following suspension, VEL improved and the CARs were significant but not uniformly positive or negative. We also find that less liquid stocks traded less in the auctions than other securities, especially at the opening, and they experienced the most gains following suspension. This is consistent with there being liquidity externalities associated with auctions, a point previous noted for industrial countries. We conclude that opening and closing call auctions may not necessarily improve share trading in a less liquid emerging market.

Suggested Citation

  • Silvio John Camilleri & Christopher J. Green, 2005. "The Impact of the Suspension of Opening and Closing Call," Finance 0506006, University Library of Munich, Germany.
  • Handle: RePEc:wpa:wuwpfi:0506006
    Note: Type of Document - pdf; pages: 38
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    References listed on IDEAS

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    Cited by:

    1. Camilleri, Silvio John, 2006. "Strategic Priorities for Stock Exchanges in New EU Member States," MPRA Paper 62494, University Library of Munich, Germany.
    2. Sangram Keshari Jena & Ashutosh Dash, 2015. "Is call auction efficient for better price discovery?," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 5(8), pages 102-113, August.

    More about this item

    Keywords

    Call Auctions; stock markets; National Stock Exchange of India;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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