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The influence of call auction algorithm rules on market efficiency

Citations

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Cited by:

  1. Michael Aitken & Frederick Harris & Shan Ji, 2015. "A Worldwide Examination of Exchange Market Quality: Greater Integrity Increases Market Efficiency," Journal of Business Ethics, Springer, vol. 132(1), pages 147-170, November.
  2. Chung, Huimin & Hseu, Mei-Maun, 2008. "Expiration day effects of Taiwan index futures: The case of the Singapore and Taiwan Futures Exchanges," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(2), pages 107-120, April.
  3. Henk Berkman & Carole Comerton‐Forde, 2011. "Market microstructure: A review from down under," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(1), pages 50-78, March.
  4. Chu, Gang & Goodell, John W. & Li, Xiao, 2024. "Are pre-opening periods important? Evidence from Chinese market lunch breaks," Pacific-Basin Finance Journal, Elsevier, vol. 88(C).
  5. Dionigi Gerace & Qigui Liu & Gary Gang Tian & Willa Zheng, 2015. "Call Auction Transparency and Market Liquidity: Evidence from China," International Review of Finance, International Review of Finance Ltd., vol. 15(2), pages 223-255, June.
  6. Anagnostidis, Panagiotis & Fontaine, Patrice & Varsakelis, Christos, 2020. "Are high–frequency traders informed?," Economic Modelling, Elsevier, vol. 93(C), pages 365-383.
  7. Tsung-Yu Hsieh, 2015. "Information disclosure and price manipulation during the pre-closing session: evidence from an order-driven market," Applied Economics, Taylor & Francis Journals, vol. 47(43), pages 4670-4684, September.
  8. Tobias Brünner & René Levínský, 2023. "Price discovery and gains from trade in asset markets with insider trading," The European Journal of Finance, Taylor & Francis Journals, vol. 29(3), pages 255-277, February.
  9. Ioane Muni Toke, 2015. "Exact and asymptotic solutions of the call auction problem," Post-Print hal-01061857, HAL.
  10. Mike Derksen & Bas Kleijn & Robin de Vilder, 2020. "Effects of MiFID II on stock price formation," Papers 2003.10353, arXiv.org, revised Aug 2020.
  11. Chen, Tao & Cai, Jun & Ho, Richard Y.K., 2009. "Intraday information efficiency on the Chinese equity market," China Economic Review, Elsevier, vol. 20(3), pages 527-541, September.
  12. Ioane Muni Toke, 2014. "Exact and asymptotic solutions of the call auction problem," Working Papers hal-01061857, HAL.
  13. Jiayi Li & Sumei Luo & Guangyou Zhou, 2021. "Call auction, continuous trading and closing price formation," Quantitative Finance, Taylor & Francis Journals, vol. 21(6), pages 1037-1065, June.
  14. Bellia, Mario & Pelizzon, Loriana & Subrahmanyam, Marti G. & Uno, Jun & Yuferova, Darya, 2017. "Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods," SAFE Working Paper Series 144, Leibniz Institute for Financial Research SAFE, revised 2017.
  15. Ioane Muni Toke, 2014. "Exact and asymptotic solutions of the call auction problem," Papers 1407.4512, arXiv.org, revised Nov 2014.
  16. Moshirian, Fariborz & Nguyen, Huong Giang (Lily) & Pham, Peter Kien, 2012. "Overnight public information, order placement, and price discovery during the pre-opening period," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2837-2851.
  17. Chen, Yangfa & Jiang, Ji & Liu, Jie & Liu, Xiao & Wu, Weili, 2025. "Registration system reform, information environment, and market manipulation," Journal of Corporate Finance, Elsevier, vol. 93(C).
  18. Glenn Kit Foong Ho & Sirimon Treepongkaruna & Marvin Wee & Chaiyuth Padungsaksawasdi, 2022. "The effect of short selling on volatility and jumps," Australian Journal of Management, Australian School of Business, vol. 47(1), pages 34-52, February.
  19. repec:grz:wpsses:2014-01 is not listed on IDEAS
  20. Comerton-Forde, Carole & Ting Lau, Sie & McInish, Thomas, 2007. "Opening and closing behavior following the introduction of call auctions in Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 15(1), pages 18-35, January.
  21. Thomas Dimpfl & Alexander Reining, 2021. "Price Discovery and Learning during the German 5G Auction," JRFM, MDPI, vol. 14(6), pages 1-17, June.
  22. Eaves, James & Williams, Jeffrey & Power, Gabriel J., 2016. "Do traders strategically time their pledges during real-world Walrasian auctions?," Journal of Banking & Finance, Elsevier, vol. 71(C), pages 109-118.
  23. Panagiotis Anagnostidis & Patrice Fontaine & Christos Varsakelis, 2020. "Are high–frequency traders informed?," Post-Print hal-03062831, HAL.
  24. Bruno Biais & Christophe Bisière & Sébastien Pouget, 2014. "Equilibrium Discovery and Preopening Mechanisms in an Experimental Market," Management Science, INFORMS, vol. 60(3), pages 753-769, March.
  25. Kandel, Eugene & Rindi, Barbara & Bosetti, Luisella, 2012. "The effect of a closing call auction on market quality and trading strategies," Journal of Financial Intermediation, Elsevier, vol. 21(1), pages 23-49.
  26. Joshua Huang & Teresa Serra & Philip Garcia & Scott H. Irwin, 2022. "To batch or not to batch? The release of USDA crop reports," Agricultural Economics, International Association of Agricultural Economists, vol. 53(1), pages 143-154, January.
  27. Susan Thomas, 2010. "Call auctions: A Solution to some difficulties in Indian finance," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2010-006, Indira Gandhi Institute of Development Research, Mumbai, India.
  28. Han, Qian & Zhao, Chengzhi & Chen, Jing & Guo, Qian, 2022. "Reexamining the impact of closing call auction on market quality: A natural experiment from the Shanghai stock exchange," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
  29. Anagnostidis, Panagiotis & Kanas, Angelos & Papachristou, George, 2015. "Information revelation in the Greek exchange opening call: Daily and intraday evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 167-184.
  30. 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.
  31. Yiping Lin & David Michayluk & Mi Zou, 2023. "Does Random Auction Ending Curb Stock Price Manipulation?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 1-33, December.
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