Effectiveness of closing call auctions: Evidence from the Taiwan Stock Exchange

Emerging Markets Finance and Trade

Volumn 44, Issue 3, 2008, Pages 5-20

  Huang, Yu Chuan ^a   Tsai, Pei Lin ^a  

^a NATIONAL KAOHSIUNG UNIVERSITY OF APPLIED SCIENCES   (Taiwan)

Author keywords

Call auction; Market microstructure; Market quality

Indexed keywords

EID: 45549105786     PISSN: 1540496X     EISSN: None     Source Type: Journal    
DOI: 10.2753/REE1540-496X440301     Document Type: Article

References (15)

1. Aitken, M.; C. Comerton-Forde; and A. Frino. 2005. "Closing Call Auctions and Market Liquidity." Accounting and Finance 45, no. 4: 501-518.
2. Amihud, Y., and H. Mendelson. 1987. "Trading Mechanism and Stock Returns: An Empirical Investigation." Journal of Finance 42, no. 3: 533-553.
3. 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.
4. Brooks, R.M., and J. Moulton. 2004. "The Interaction Between Opening Call Auctions and Ongoing Trade: Evidence from the NYSE." Review of Financial Economics 13, no. 4: 341-356.
5. Comerton-Forde, C.; S.T. Lau; and T.H. McInish. 2003. "IPO Madness, Index Rigging, and the Introduction of an Opening and Closing Call: The Case of Singapore." Australasian Finance and Banking Conference, Sydney, December 17-19.
6. Hillion, P., and M. Suominen. 1998. "Deadline Effect of an Order Driven Market: An Analysis of the Last Trading Minute on the Paris Bourse." Global Equity Markets Conference Proceedings, Paris-Bourse and NYSE edited, Paris.
7. Huang, Y.S.; C.H. Jiang; and M.C. Ke. 2000. "Tick Size and Stock Price Behavior on the Taiwan Stock Exchange." Asia Pacific Journal of Finance 3, no. 2: 149-170.
8. Ke, M.C.; C.H. Jiang; and Y.S. Huang. 2004. "The Impact of Tick Size on Intraday Stock Price Behavior: Evidence from the Taiwan Stock Exchange." Pacific-Basin Finance Journal 12, no. 1: 19-39.
9. Ko, K.; S. Lee; and J. Chung. 1995. "Volatility, Efficiency, and Trading: Further Evidence." Journal of International Financial Management and Accounting 6, no. 1: 26-42.
10. Madhavan, A. 1992. "Trading Mechanisms in Securities Markets." Journal of Finance 47, no. 2: 607-641.
11. Pagano, M.S., and R.A. Schwartz. 2003. "A Closing Call's Impact on Market Quality at Euronext Paris." Journal of Financial Economics 68, no. 3: 439-484.
12. 2005. "Nasdaq's Closing Cross." Journal of Portfolio Management 31, no. 4: 100-111.
13. Parkinson, M. 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return." Journal of Business 53, no. 1: 61-65.
14. Stoll, H.R., and R.E. Whaley. 1990. "Stock Market Structure and Volatility." Review of Financial Studies 3, no. 1: 37-71.
15. Thomas, S. 1998. "End of Day Patterns on the Paris Bourse After Implementation of a Call Auction." Global Equity Markets Conference Proceedings, Bourse de Paris-NYSE, Paris.