The interaction between opening call auctions and ongoing trade: Evidence from the NYSE

Review of Financial Economics

Volumn 13, Issue 4, 2004, Pages 341-356

  Brooks, Raymond M ^a   Moulton, Jonathan ^a  

^a OREGON STATE UNIVERSITY   (United States)

Author keywords

Call auction; Intraday trading; New York stock exchange; Opening trade

Indexed keywords

EID: 8844281646     PISSN: 10583300     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.rfe.2003.12.003     Document Type: Article

References (23)

1. Amihud Y. Mendelson H. Trading mechanisms and stock returns: An empirical investigation Journal of Finance 42 1987 533-553
2. Bolleslev T. Generalized autoregressive conditional heteroskedasticity Journal of Econometrics 31 1986 307-327
3. Brock W. Kleidon A. Periodic market closure and trading volume Journal of Economic Dynamics and Control 16 1992 451-489
4. Brooks R. Su T. A simple cost reduction strategy for small liquidity traders: Trade at the opening Journal of Financial and Quantitative Analysis 32 1997 525-540
5. Comerton-Forde, C., Lau, S., & McInish, T. (2003). IPO madness, index rigging, and the introduction of an opening and closing call: The case of Singapore. (Working Paper). University of Memphis
6. Cushing D. Madhavan A. Stock returns and trading at the close Journal of Financial Markets 3 2000 45-67
7. Engle R. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation Econometrics 50 1982 987-1007
8. Fama E. MacBeth J. Risk, return and equilibrium: Empirical tests Journal of Political Economy 71 1973 607-636
9. Foster F. Viswanathan S. Variations in trading volume, return volatility, and trading costs: Evidence on recent price formation models Journal of Finance 48 1993 187-211
10. Gallant A.R. Rossi P. Tauchen G. Stock prices and volume Review of Financial Studies 5 1992 199-242
11. Garbade K. Sekaran C. Opening prices on the New York stock exchange Journal of Banking and Finance 5 1981 345-355
12. Gerety M. Mulherin J.H. Trading halts and market activity: An analysis of volume at the open and the close Journal of Finance 47 1992 1765-1784
13. Hasbrouck, J., Sofianos, G., & Sosebee, D. (1993). New York Stock Exchange systems and trading procedures. (Working paper). New York Stock Exchange
14. Hillion, P., & Suominen, M. (1998). Deadline effect of an order driven market: An analysis of last minute trading on the Paris bourse. (Working paper). INSEAD
15. Lee J. Lin J. Volatility and liquidity at NYSE opening calls: A closer look Journal of Financial Research 18 1995 479-493
16. Madhavan A. Panchapagesan V. Price discovery in auction markets: A look inside the black box Review of Financial Studies 13 2000 627-658
17. McInish T. Wood R. Autocorrelation of market index returns: Intraday-to-intraday versus close-to-close intervals Journal of Banking and Finance 15 1991 193-206
18. McInish T. Wood R. An analysis of intraday patterns in bid/ask spreads for NYSE stocks Journal of Finance 47 1992 753-764
19. Monaco, S. (1996). Liquidity and information flow in securities markets: The effect of sequential variation in market structure. (Working paper). Indiana University
20. Pagano M. Schwartz R. A closing call's impact on market quality at Euronext Paris Journal of Financial Economics 68 2003 439-484
21. U.S. Securities and Exchange Commission Report of special study of securities markets: Part 2. House Document No. 95, Pt. 2, 88th Congress, 1st Session 1963 USGPO Washington, DC
22. Stoll H. Whaley R.E. Stock market structure and volatility Review of Financial Studies 3 1990 37-70
23. Wood R. McInish T. Ord J.K. An investigation of transactions data for NYSE stocks Journal of Finance 40 1985 723-739