Impact of the introduction of call auction on price discovery: Evidence from the Indian stock market using high-frequency data

被引:7
作者
Agarwalla, Sobhesh Kumar [1 ]
Jacob, Joshy [1 ]
Pandey, Ajay [1 ]
机构
[1] Indian Inst Management, Ahmadabad 380015, Gujarat, India
关键词
Call auction; Market opening; Market efficiency; Intraday behavior; Emerging markets; TRADING MECHANISMS; EFFICIENCY;
D O I
10.1016/j.irfa.2015.01.012
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Call markets are claimed to aggregate information and facilitate price discovery where continuous markets may fail. The impact of the introduction of call auction has not been found uniformly beneficial, possibly due to poor design or due to 'thick market externalities'. This paper examines the reintroduction of opening call auction at the National Stock Exchange of India in 2010. The results suggest that the auctions attract very little volume, the intraday pattern of volume and volatility in the continuous market remains unchanged and a large fraction of price discovery, measured by the Weighted Price Contribution, still takes place in the first 15 min of continuous market. However, the market synchronicity has improved after the introduction of the auction. Our findings suggest that the ability to attract volume in the call auction for effective price discovery depends on the institutional settings and the characteristics of liquidity supply in the market. (C) 2015 Elsevier Inc. All rights reserved.
引用
收藏
页码:167 / 178
页数:12
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