Relationship between the Reduction of Opening Price Auction-process Time and Effect of Price Discovery

On April 29, 2019, the KOSPI market of Korea Exchange reduced opening price auction-process time from 1 hour (08:00-09:00+) to 30 minutes (08:30-09:00+) for first in more than 20 years. We examine whether this event was useful improving discovery market. Using real-time indicative prices before and after event, we analyze price-discovery effect via unbiased regression analysis speed with weighted contribution (WPC). derive following results. First, at least same as that during second-half measure reducing somewhat improve market’s operational efficiency. Second, slope WPC inverse J-shaped pattern much steeper implying improved too quickly so about five needed be hastily adjusted. Third, analyses by liquidity level revealed most were similar those overall analysis, but they less effective group lowest (Q1).