A note on price noises and their correction process: Evidence from two equal-payo government bonds
نویسندگان
چکیده
The study oers the most direct evidence to date on price noises in call auctions and their correction. We examine a unique sample of two identical securities (two equalpayo Israeli government bonds) that were traded on separate yet almost simultaneous auctions on the Tel-Aviv Stock Exchange (TASE). The prices of the bonds were equal on average. However, on most of the sample days there were price dierences between the bonds. Various estimates suggest that the price noise in one bond is practically uncorrelated with that of the other, and both disappear by the end of the next-day auction. Ó 2001 Elsevier Science B.V. All rights reserved. JEL classi®cation: G14
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تاریخ انتشار 2001