Price-formation process of an emerging futures market: Call auction versus continuous auction

Emerging Markets Finance and Trade

Volumn 43, Issue 1, 2007, Pages 74-97

  Cheng, Mei Hsing ^a,b   Kang, Hsin Hong ^b  

^a SOUTHERN TAIWAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Taiwan)

^b NATIONAL CHENG KUNG UNIVERSITY   (Taiwan)

Author keywords

Asymmetry; Call auction; Continuous auction; Emerging market; Futures market; Price formation process

Indexed keywords

EID: 33846699278     PISSN: 1540496X     EISSN: None     Source Type: Journal    
DOI: 10.2753/REE1540-496X430104     Document Type: Article

References (34)

1. Amihud, Y., and H. Mendelson. 1986. "Asset Pricing and the Bid-Ask Spread." Journal of Financial Economics 17, no. 2: 223-249.
2. _. 1987. "Trading Mechanisms and Stock Returns: An Empirical Investigation." Journal of Finance 42, no. 3: 533-553.
3. _. 1988. "Liquidity, Volatility, and Exchange Automation." Journal of Accounting, Auditing and Finance 3, no. 4: 369-395.
4. _. 1991. "Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market." Journal of Finance 46, no. 5: 1765-1789.
5. Amihud, Y.; H. Mendelson; and B. Lauterbach. 1997. "Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange." Journal of Financial Economics 45, no. 3: 365-390.
6. Andersen, T.G., and T. Bollerslev. 1997. "Intraday Periodicity and Volatility Persistence in Financial Markets." Journal of Empirical Finance 4, nos. 2-3: 115-158.
7. _. 1998. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements and Longer Run Dependencies." Journal of Finance 53, no. 1: 219-265.
8. Antoniou, A., and P. Holmes. 1995. "Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH." Journal of Banking and Finance 19, no. 1: 117-129.
9. Bollerslev, T., and E. Ghysels. 1996. "Periodic Autoregressive Conditional Heteroscedasticity." Journal of Business and Economic Statistics 14, no. 2: 139-151.
10. Chang, R.P.; S.T. Hsu; N.K. Huang; and S.G. Rhee. 1999. "The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange." Journal of Business Finance and Accounting 26, nos. 1-2: 137-170.
11. Chang, R.P.; S.G. Rhee; and S. Soedigno. 1995. "Price Volatility of Indonesian Stocks." Pacific-Basin Finance Journal 3, nos. 2-3: 337-355.
12. Cheung, Y.L.; R.Y.K. Ho; P. Pope; and P. Draper. 1994. "Intraday Stock Return Volatility: The Hong Kong Evidence." Pacific-Basin Finance Journal 2, nos. 2-3: 261-276.
13. Choe, H., and H.S. Shin. 1993. "An Analysis of Interday and Intraday Return Volatility: Evidence from the Korea Stock Exchange." Pacific-Basin Finance Journal 1, no. 2: 175-188.
14. Clements, M.P., and N. Taylor. 2003. "Evaluating Interval Forecasts of High-Frequency Financial Data." Journal of Applied Econometrics 18, no. 4: 445-456.
15. Gau, Y.F., and M. Hau. 2004. "Public Information, Private Information, Inventory Control, and Volatility of Intraday NTD/USD Exchange Rates." Applied Economics Letters 11, no. 4: 263-266.
16. Gerety, M.S., and J.H. Mulherin. 1994. "Price Formation on Stock Exchanges: The Evolution of Trading Within the Day." Review of Financial Studies 1, no. 3: 609-629.
17. Hasbrouck, J., and R.A. Schwartz. 1988. "Liquidity and Execution Costs in Equity Markets." Journal of Portfolio Management 14, no. 3: 10-16.
18. Hauser, S., and A. Levy. 1998. "Efficiency of Price Discovery in Thinly Traded Stocks: Evidence from Dual Listings in Tel Aviv and the OTC." Multinational Finance Journal 2, no. 2: 133-149.
19. Huang, Y.S.; D.Y. Liu; and T.W. Fu. 2000. "Stock Price Behavior over Trading and Non-Trading Periods: Evidence from the Taiwan Stock Exchange." Journal of Business Finance and Accounting 27, nos. 5-6: 575-602.
20. Kairys, J.P.; R. Kruza; and R. Kumpins. 2000. "Winners and Losers from the Introduction of Continuous Variable Price Trading: Evidence from the Riga Stock Exchange." Journal of Banking and Finance 24, no. 4: 603-624.
21. Kalay, A.; L. Wei; and A. Wohl. 2002. "Continuous Trading or Call Auctions: Revealed Preferences of Investors at the Tel Aviv Stock Exchange." Journal of Finance 57, no. 1: 523-542.
22. Khan, A.W., and H.K. Baker. 1993. "Unlisted Trading Privileges, Liquidity, and Stock Returns." Journal of Financial Research 16, no. 3: 221-236.
23. Kyle, A.S. 1985. "Continuous Auctions and Insider Trading." Econometrica 53, no. 6: 1315-1335.
24. Lang, L.H.P., and Y.T. Lee. 1999. "Performance of Various Transaction Frequencies Under Call Markets: The Case of Taiwan." Pacific-Basin Finance Journal 7, no. 1: 23-39.
25. Lauterbach, B. 2001. "A Note on Trading Mechanism and Securities' Value: The Analysis of Rejects from Continuous Trade." Journal of Banking and Finance 25, no. 2: 419-430.
26. Martens, M.; Y.C. Chang; and S.J. Taylor. 2002. "A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility." Journal of Financial Research 25, no. 2: 283-299.
27. McMillan, D.G., and A.E.H. Speight. 2004. "Intraday Periodicity, Temporal Aggregation and Time-to-Maturity in FTSE-100 Index Futures Volatility." Applied Financial Economics 14, no. 4: 253-263.
28. Mendelson, H. 1982. "Market Behavior in a Clearing House." Econometrica 50, no. 6: 1505-1524.
29. Mian, G.M., and C.M. Adam. 2001. "Volatility Dynamics in High Frequency Financial Data: An Empirical Investigation of the Australian Equity Returns." Applied Financial Economics 11, no. 3: 341-352.
30. Muscarella, C.J., and M.S. Piwowar. 2001. "Market Microstructure and Securities Values: Evidence from the Paris Bourse." Journal of Financial Markets 4, no. 3: 209-229.
31. Shastri, K.A.; K. Shastri; and K. Sirodom. 1995. "Trading Mechanisms and Return Volatility: An Empirical Analysis of the Stock Exchange of Thailand." Pacific-Basin Finance Journal 3, nos. 2-3: 357-370.
32. Stoll, H.R. 1992. "Principles of Trading Market Structure." Journal of Financial Services Research 6, no. 1: 75-107.
33. Stoll, H.R., and R.E. Whaley. 1990. "Stock Market Structure and Volatility." Review of Financial Studies 3, no. 1: 37-71.
34. Taylor, N. 2004. "Modeling Discontinuous Periodic Conditional Volatility: Evidence from the Commodity Futures Market." Journal of Futures Markets 24, no. 9: 805-834.