IDEAS home Printed from https://ideas.repec.org/r/eee/jfinin/v21y2012i1p23-49.html
   My bibliography  Save this item

The effect of a closing call auction on market quality and trading strategies

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Frei, Christoph & Mitra, Joshua, 2021. "Optimal closing benchmarks," Finance Research Letters, Elsevier, vol. 40(C).
  2. Marjolein E. Verhulst & Philippe Debie & Stephan Hageboeck & Joost M. E. Pennings & Cornelis Gardebroek & Axel Naumann & Paul van Leeuwen & Andres A. Trujillo‐Barrera & Lorenzo Moneta, 2021. "When two worlds collide: Using particle physics tools to visualize the limit order book," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1715-1734, November.
  3. Alvin E. Roth, 2009. "What Have We Learned from Market Design?," Innovation Policy and the Economy, University of Chicago Press, vol. 9(1), pages 79-112.
  4. Pagano, Michael S. & Peng, Lin & Schwartz, Robert A., 2013. "A call auction's impact on price formation and order routing: Evidence from the NASDAQ stock market," Journal of Financial Markets, Elsevier, vol. 16(2), pages 331-361.
  5. Arie E. Gozluklu & Pietro Perotti & Barbara Rindi & Roberta Fredella, 2015. "Lot Size Constraints and Market Quality: Evidence from the Borsa Italiana," Financial Management, Financial Management Association International, vol. 44(4), pages 905-945, October.
  6. Christos Alexakis & Vasileios Pappas & Emmanouil Skarmeas, 2021. "Market abuse under different close price determination mechanisms: A European case," Post-Print hal-03182927, HAL.
  7. Haas, Marlene & Khapko, Mariana & Zoican, Marius, 2021. "Speed and learning in high-frequency auctions," Journal of Financial Markets, Elsevier, vol. 54(C).
  8. Alexakis, Christos & Pappas, Vasileios & Skarmeas, Emmanouil, 2021. "Market abuse under different close price determination mechanisms: A European case," International Review of Financial Analysis, Elsevier, vol. 74(C).
  9. Marlene Haas & Marius Andrei Zoican, 2016. "Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets," Post-Print hal-01484805, HAL.
  10. Ester Félez‐Viñas & Björn Hagströmer, 2021. "Do volatility extensions improve the quality of closing call auctions?," The Financial Review, Eastern Finance Association, vol. 56(3), pages 385-406, August.
  11. Chan, Shu Hui & Huang, Yu Chuan & Lin, Sheng-Min, 2020. "Market transparency and closing price behavior on month-end days: Evidence from Taiwan," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  12. Alfred Ma, 2022. "Profitability of technical trading strategies under market manipulation," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-9, December.
  13. Kyong S. Eom & Kyung Y. Kwon & Jong‐Ho Park, 2021. "Effectiveness of the conditional random‐end trading mechanism on the Korea Exchange: Normal trade and Option Shock," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1545-1568, October.
  14. Chung, Min-Hsi & Chang, Ya-Kai, 2024. "Financial Reporting Complexity, Investor Sentiment, and Stock Prices," Finance Research Letters, Elsevier, vol. 62(PA).
  15. Theissen, Erik & Westheide, Christian, 2020. "Call of duty: Designated market maker participation in call auctions," Journal of Financial Markets, Elsevier, vol. 49(C).
  16. Mike Derksen & Bas Kleijn & Robin de Vilder, 2020. "Effects of MiFID II on stock price formation," Papers 2003.10353, arXiv.org, revised Aug 2020.
  17. Silvio John Camilleri, 2015. "The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 44-53, April.
  18. Patrizia Perras & Niklas Wagner, 2020. "On the pricing of overnight market risk," Empirical Economics, Springer, vol. 59(3), pages 1307-1327, September.
  19. 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.
  20. 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.
  21. Kyong Shik Eom & Kyung Yoon Kwon & Sung Chae La & Jong-Ho Park, 2022. "Dynamic and Static Volatility Interruptions: Evidence from the Korean Stock Markets," JRFM, MDPI, vol. 15(3), pages 1-19, February.
  22. Ya‐Kai Chang & Robin K. Chou & J. Jimmy Yang, 2020. "A rare move: The effects of switching from a closing call auction to a continuous trading," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 308-328, March.
  23. Gao, Pengjie & Hao, Jia & Kalcheva, Ivalina & Ma, Tongshu, 2015. "Short sales and the weekend effect—Evidence from a natural experiment," Journal of Financial Markets, Elsevier, vol. 26(C), pages 85-102.
  24. Tseng, Yi-Heng & Chen, Shu-Heng, 2015. "Limit order book transparency and order aggressiveness at the closing call: Lessons from the TWSE 2012 new information disclosure mechanism," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 241-272.
  25. Eibelshäuser, Steffen & Smetak, Fabian, 2022. "Frequent batch auctions and informed trading," SAFE Working Paper Series 344, Leibniz Institute for Financial Research SAFE.
  26. John F. Pinfold & Danyang He, 2012. "The impact of introducing a pre‐close on the New Zealand share market," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 20(1), pages 99-110, February.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.