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The effect of different market opening structures on market quality – experimental evidence

In: Operations Research Proceedings 2011

Author

Listed:
  • Gernot Hinterleitner

    (Karl-Franzens-University Graz)

  • Philipp Hornung

    (Karl-Franzens-University Graz)

  • Ulrike Leopold-Wildburger

    (Karl-Franzens-University Graz)

  • Roland Mestel

    (Karl-Franzens-University Graz)

  • Stefan Palan

    (Karl-Franzens-University Graz)

Abstract

This experimental study focuses on the effect of opening call auctions on market quality. Our examination extends the existing market microstructure literature in two respects. First, in addition of analyzing the market opening, we examine the effect of an opening call auction on the subsequent continuous trading phase. Second, we analyze two different kinds of call auctions with different pre-opening transparency levels. We find that an opening call auction significantly increases the informational efficiency of opening prices and leads to higher market quality of the subsequent continuous double auction market as compared to the continuous double auction alone.

Suggested Citation

  • Gernot Hinterleitner & Philipp Hornung & Ulrike Leopold-Wildburger & Roland Mestel & Stefan Palan, 2012. "The effect of different market opening structures on market quality – experimental evidence," Operations Research Proceedings, in: Diethard Klatte & Hans-Jakob Lüthi & Karl Schmedders (ed.), Operations Research Proceedings 2011, edition 127, pages 179-184, Springer.
    • Handle: RePEc:spr:oprchp:978-3-642-29210-1_29
    DOI: 10.1007/978-3-642-29210-1_29
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