Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/17235
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dc.contributor.authorAgarwalla, Sobhesh Kumar
dc.contributor.authorJacob, Joshy
dc.contributor.authorPandey, Ajay
dc.date.accessioned2016-01-05T08:28:58Z
dc.date.available2016-01-05T08:28:58Z
dc.date.copyright2015
dc.date.issued2015
dc.identifier.citationAgarwalla, S. K., Jacob, J., & Pandey, A. (2015). Impact of the introduction of call auction on price discovery: Evidence from the Indian stock market using high-frequency data. International Review of Financial Analysis, 39, 167-178.en_US
dc.identifier.urihttp://hdl.handle.net/11718/17235
dc.description.abstractCall 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.en_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.subjectCall auctionen_US
dc.subjectMarket openingen_US
dc.subjectMarket efficiencyen_US
dc.subjectIntraday behavioren_US
dc.subjectEmerging marketsen_US
dc.titleImpact of the introduction of call auction on price discovery: evidence from the Indian stock market using high-frequency dataen_US
dc.typeArticleen_US
Appears in Collections:Journal Articles



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