The Effect of a Closing Call Auction on Market Quality and Trading Strategies

2010 ◽  
Author(s):  
Eugene Kandel ◽  
Barbara Rindi ◽  
Luisella Bosetti
Keyword(s):  
Trading Strategies ◽  
Market Quality ◽  
Call Auction

The effect of a closing call auction on market quality and trading strategies

2012 ◽  
Vol 21 (1) ◽  
pp. 23-49 ◽  
Author(s):  
Eugene Kandel ◽  
Barbara Rindi ◽  
Luisella Bosetti
Keyword(s):  
Trading Strategies ◽  
Market Quality ◽  
Call Auction

A closing call’s impact on market quality: evidence from Abu Dhabi stock exchange

2020 ◽  
Vol 32 (1) ◽  
pp. 82-95
Author(s):  
Eda Orhun
Keyword(s):  
Market Efficiency ◽  
Trading Volume ◽  
Stock Exchange ◽  
Abu Dhabi ◽  
Dispersion Measure ◽  
Market Quality ◽  
Content Type ◽  
Call Auction ◽  
The Cost ◽  
Bid Ask Spreads

Purpose This paper aims to look at the effects of the closing call auction on market quality and behavior by using the natural experiment of its introduction at the Abu Dhabi Stock Exchange. Design/methodology/approach Current paper studies the effect of closing call auction on various market quality factors such as liquidity, bid-ask spreads, volatility and market efficiency. Liquidity is proxied by trading volume. Bid-ask spreads provide a measure for the cost of trading in the market. Volatility is measured by using Parkinson’s (1980) volatility as in Huang and Tsai (2008). Last but not least, efficiency will be obtained by estimating a relative return dispersion measure as in Huang and Tsai (2008). Findings The introduction of the closing call auction leads to a significant decrease in the trading volume toward the end of the continuous trading. At the same time, trading activity taking place during the call auction significantly increases. This implies a redistribution of liquidity. The implementation of the closing call auction also improves market quality by reducing market inefficiency in terms of firm-specific noise. The study also documents that there exists no significant change in the cost of trading and intraday volatility in the post-period following the adoption of closing call auction. Originality/value This current study is the first one looking at this topic for the Abu Dhabi Stock Exchange. Specifically, this paper looks at the changes in trading volume, bid-ask spreads, intraday return volatility and market efficiency after the implementation of the closing call mechanism.

scholarly journals A Good Beginning Makes a Good Market: The Effect of Different Market Opening Structures on Market Quality

2015 ◽  
Vol 2015 ◽  
pp. 1-14 ◽  
Author(s):  
Gernot Hinterleitner ◽  
Ulrike Leopold-Wildburger ◽  
Roland Mestel ◽  
Stefan Palan
Keyword(s):  
Market Efficiency ◽  
Spillover Effects ◽  
Double Auction ◽  
Market Quality ◽  
Market Opening ◽  
Good Market ◽  
Positive Spillover ◽  
Call Auction ◽  
Continuous Double Auction ◽  
Continuous Trading

This paper deals with the market structure at the opening of the trading day and its influence on subsequent trading. We compare a single continuous double auction and two complement markets with different call auction designs as opening mechanisms in a unified experimental framework. The call auctions differ with respect to their levels of transparency. We find that a call auction not only improves market efficiency and liquidity at the beginning of the trading day when compared to the stand-alone continuous double auction, but also causes positive spillover effects on subsequent trading. Concerning the design of the opening call auction, we find no significant differences between the transparent and nontransparent specification with respect to opening prices and liquidity. In the course of subsequent continuous trading, however, market quality is slightly higher after a nontransparent call auction.

scholarly journals Dark pool trading strategies, market quality and welfare

2017 ◽  
Vol 124 (2) ◽  
pp. 244-265 ◽  
Author(s):  
Sabrina Buti ◽  
Barbara Rindi ◽  
Ingrid M. Werner
Keyword(s):  
Trading Strategies ◽  
Market Quality ◽  
Dark Pool

Tick Size, Trading Strategies and Market Quality

2019 ◽  
Author(s):  
Ingrid M. Werner ◽  
Yuanji Wen ◽  
Barbara Rindi ◽  
Sabrina Buti
Keyword(s):  
Trading Strategies ◽  
Market Quality ◽  
Tick Size

High-Frequency Financial Econometrics

2014 ◽  
Author(s):  
Yacine Aït-Sahalia ◽  
Jean Jacod
Keyword(s):  
High Frequency ◽  
Practical Importance ◽  
Financial Econometrics ◽  
Trading Strategies ◽  
Financial Data ◽  
Jump Processes ◽  
High Frequency Trading ◽  
Microstructure Noise ◽  
Econometric Methods ◽  
Mathematical Foundations

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. The book covers the mathematical foundations of stochastic processes, describes the primary characteristics of high-frequency financial data, and presents the asymptotic concepts that their analysis relies on. It also deals with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As the book demonstrates, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. The book approaches high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

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