Return differences between trading and non-trading hours: Like night and day
We use transaction-level data and decompose the US equity premium into day (open to
close) and night (close to open) returns. We document the striking result that the US equity …
close) and night (close to open) returns. We document the striking result that the US equity …
A call auction's impact on price formation and order routing: Evidence from the NASDAQ stock market
Electronic call auctions are used globally to open and close equity market trading; as such,
they are a critically important facility that needs to be better understood. The paper focuses …
they are a critically important facility that needs to be better understood. The paper focuses …
Order consolidation, price efficiency, and extreme liquidity shocks
MJ Barclay, T Hendershott, CM Jones - Journal of Financial and …, 2008 - cambridge.org
We show that the consolidation of orders is important for producing efficient prices,
especially during times of high liquidity demand. The NYSE's centralized opening call …
especially during times of high liquidity demand. The NYSE's centralized opening call …
Opening and closing behavior following the introduction of call auctions in Singapore
The Singapore Exchange introduced opening and closing call auctions in August 2000. We
find that the frequency of call trades is lower than on other markets. However, when auctions …
find that the frequency of call trades is lower than on other markets. However, when auctions …
How does the call market method affect price efficiency? Evidence from the Singapore Stock Market
RP Chang, SG Rhee, GR Stone, N Tang - Journal of Banking & Finance, 2008 - Elsevier
On August 21, 2000, the Singapore Exchange (SGX) adopted the call market method to
open and close the market while the remainder of the day's trading continued to rely on the …
open and close the market while the remainder of the day's trading continued to rely on the …
[HTML][HTML] Closing price manipulation in Borsa Istanbul and the impact of call auction sessions
To reduce extraordinary price movement and to ensure more effective price formation at
closing time, Borsa Istanbul implemented closing call auction sessions on March 2, 2012 …
closing time, Borsa Istanbul implemented closing call auction sessions on March 2, 2012 …
Effectiveness of closing call auctions: evidence from the Taiwan Stock Exchange
YC Huang, PL Tsai - Emerging Markets Finance and Trade, 2008 - Taylor & Francis
To reduce market volatility observed at the close of trading and to enhance the fairness of
the closing price, the Taiwan Stock Exchange (TSE) changed the way it executed its closing …
the closing price, the Taiwan Stock Exchange (TSE) changed the way it executed its closing …
Intraday analysis of regulation change in microstructure: evidence from an emerging market
E Kadioglu - International Journal of Emerging Markets, 2023 - emerald.com
Purpose This study investigates the impact of simultaneously replacing both midday single-
price call auction and lunch break with multi-price continuous trading on intraday volatility …
price call auction and lunch break with multi-price continuous trading on intraday volatility …
Research and implementation of fragile watermark for vector graphics
L Zheng, Y Li, L Feng, H Liu - 2010 2nd International …, 2010 - ieeexplore.ieee.org
The methods of integrity authentication for vector graphics were described at fist, then digital
watermarking for vector graphics was introduced. For vector graphics composed by linear …
watermarking for vector graphics was introduced. For vector graphics composed by linear …
Not all call auctions are created equal: evidence from Hong Kong
C Comerton-Forde, J Rydge, H Burridge - Review of Quantitative Finance …, 2007 - Springer
Abstract On 25 March 2002, the Hong Kong Exchanges and Clearing Ltd (HKEx) introduced
an opening call auction. This trading mechanism is designed to facilitate price discovery in …
an opening call auction. This trading mechanism is designed to facilitate price discovery in …