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A closing call's impact on market quality at Euronext Paris

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  • Pagano, Michael S.
  • Schwartz, Robert A.

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  • Pagano, Michael S. & Schwartz, Robert A., 2003. "A closing call's impact on market quality at Euronext Paris," Journal of Financial Economics, Elsevier, vol. 68(3), pages 439-484, June.
    • Handle: RePEc:eee:jfinec:v:68:y:2003:i:3:p:439-484
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    Citations

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    Cited by:

    1. Mohammed Salek & Damien Challet & Ioane Muni Toke, 2023. "Price impact in equity auctions: zero, then linear," Working Papers hal-03938660, HAL.
    2. Juan C. Reboredo, 2012. "The switch from continuous to call auction trading in response to a large intraday price movement," Applied Economics, Taylor & Francis Journals, vol. 44(8), pages 945-967, March.
    3. 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.
    4. Silvio John Camilleri & Christopher J. Green, 2004. "The Impact of the Suspension of Opening and Closing Call," Finance 0411012, University Library of Munich, Germany.
    5. Ioane Muni Toke, 2015. "Exact and asymptotic solutions of the call auction problem," Post-Print hal-01061857, HAL.
    6. Carol Osler, 2016. "Dealer Trading at the Fix," Working Papers 101, Brandeis University, Department of Economics and International Business School.
    7. Damien Challet, 2018. "Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions," Papers 1807.00573, arXiv.org.
    8. Ioane Muni Toke, 2014. "Exact and asymptotic solutions of the call auction problem," Working Papers hal-01061857, HAL.
    9. Robert Kelly, 2008. "Opening and Closing Asymmetry: Empirical Analysis from ISE Xetra," The Economic and Social Review, Economic and Social Studies, vol. 39(1), pages 55-78.
    10. Ioane Muni Toke, 2014. "Exact and asymptotic solutions of the call auction problem," Papers 1407.4512, arXiv.org, revised Nov 2014.
    11. Marlene Haas & Marius Andrei Zoican, 2016. "Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets," Post-Print hal-01484805, HAL.

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