Market Microstructure
نویسنده
چکیده
• Amihud, Mendelson and Murgia (1990) studied the impact of the stock market microstructure on return volatility and on the value discovery process in the Milan Stock Exchange; the primary trading mechanism employed by this exchange is a call market, which is usually preceded and followed by trading in a continuous market. They found that the opening transaction in the continuous market had the highest volatility, and that opening the market with the call transaction seemed to produce relatively lower volatility.
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