Do volatility extensions improve the quality of closing call auctions?

نویسندگان

چکیده

To improve the efficiency of closing price, many equity exchanges apply volatility extensions to their call auctions (CCAs). If an imminent auction execution implies a large price change, order submission period is extended let traders reconsider orders. This paper uses introduction at NASDAQ Nordic provide first analysis effects such mechanisms. We find that reduce transitory and deter manipulation close. Consistent with increased trust in mechanism, CCA attracts higher volumes after change.

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ژورنال

عنوان ژورنال: The Financial Review

سال: 2021

ISSN: ['1540-6288', '0732-8516']

DOI: https://doi.org/10.1111/fire.12275