Closing call auctions and liquidity

Accounting and Finance

Volumn 45, Issue 4, 2005, Pages 501-518

  Aitken, Michael ^a   Comerton Forde, Carole ^b   Frino, Alex ^b  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b UNIVERSITY OF SYDNEY   (Australia)

Author keywords

Call auctions; Liquidity; Market microstructure

Indexed keywords

EID: 31344451621     PISSN: 08105391     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-629X.2005.00155.x     Document Type: Article

References (24)

1. Admati, A., and P. Pfleiderer, 1988, A theory of intraday patterns: volume and price variability, The Review of Financial Studies 1, 3-40.
2. Amihud, Y., and H. Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249.
3. Amihud, Y., and H. Mendelson, 1987, Trading mechanisms and stock returns: an empirical investigation, Journal of Finance 42, 533-553.
4. Amihud, Y., and H. Mendelson, 1991, Volatility, efficiency, and trading: evidence from the Japanese stock market, Journal of Finance 46, 1765-1789.
5. Amihud, Y., H. Mendelson, and M. Murgia, 1990, Stock market microstructure and return volatility, Journal of Banking and Finance 14, 423-441.
6. ASX, 2001a, Upgrading ASX's auction mechanism and the CSPA, Market consultation paper, September 2001.
7. ASX, 2001b, Results of consultation on market closing mechanism and timetable for implementation of enhancement to auction algorithm, SEATS Circular 185/2001.
8. Brock, W. and A. Kleidon, 1992, Periodic market closure and trading volume, Journal of Economic Dynamics and Control 16, 451-489.
9. Brockman, P., and D. Y. Chung, 1998, Inter and intraday liquidity patterns on the Stock Exchange of Hong Kong, Journal of International Financial Markets, Institutions and Money 8, 277-298.
10. Carhart, M., R. Kaniel, D. Musto, and A. Reed, 2002, Leaning for the tape: evidence of gaming behaviour in equity mutual funds, Journal of Finance 57, 661-693.
11. Chan, K. C., W. G. Christie, and P. H. Schultz, 1995, Market structure and the intraday pattern of bid-ask spreads for NASDAQ securities, Journal of Business 68, 35-60.
12. Comerton-Forde, C., 1999, Do trading rules impact on market efficiency? A comparison of the opening procedures on the Australian and Jakarta Stock Exchanges, Pacific Basin Finance Journal 7, 495-521.
13. Comerton-Forde, C., and J. Rydge, 2005, The influence of call auction algorithm rules on market efficiency, Journal of Financial Markets, in press.
14. Cushing, D., and A. Madhavan, 2000, Stock returns and trading at the close, Journal of Financial Markets 3, 45-67.
15. Douglas, J., and C. Thomas, 2001, The demand for immediacy on the Australian Stock Exchange, in: R. A. Schwartz, ed., The Electronic Call Auction: Market Mechanism and Trading, Building a Better Stock Market (Kluwer Academic Publishers, Boston).
16. Economides, N., 1995, How to enhance market liquidity, in: R. Schwartz, ed., Global Equities Markets (Irwin Professional, New York).
17. Economides, N., and R. A. Schwartz, 1995a, Equity trading practices and market structure: assessing asset managers' demand immediacy, Financial Markets, Institutions and Instruments 4, 1-46.
18. Economides, N., and R. A. Schwartz, 1995b, Electronic call market trading, Journal of Portfolio Management 21, 10-18.
19. Latimer, P., 2000, False trading and market rigging: the Nomura case, Current Commercial Law 7, 28-33.
20. Madhavan, A., 1992, Trading mechanisms in securities markets, Journal of Finance 47, 607-642.
21. Pagano, M., R. A. Schwartz, 2003, A closing call's impact on market quality at Euronext Paris, Journal of Financial Economics 68, 439-484.
22. Schwartz, R. A., 2001, The call auction alternative, in: R. A. Schwartz, ed., The Electronic Call Auction: Market Mechanism and Trading, Building a Better Stock Market (Kluwer Academic Publishers, Boston).
23. Steil, B., 2001, Call market trading: history, economics, and regulation, in: R. A. Schwartz, ed., The Electronic Call Auction: Market Mechanism and Trading, Building a Better Stock Market (Kluwer Academic Publishers, Boston).
24. Stoll, H. R., R. E. Whaley, 1990, Program trading and individual stock returns: ingredients of the triple witching brew, Journal of Business 63, S165-S192.