Not all call auctions are created equal: evidence from Hong Kong |
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| Authors: | Carole Comerton-Forde James Rydge Hayley Burridge |
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| Institution: | (1) Discipline of Finance, Faculty of Economics and Business, University of Sydney, Sydney, NSW, 2006, Australia |
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| Abstract: | On 25 March 2002, the Hong Kong Exchanges and Clearing Ltd (HKEx) introduced an opening call auction. This trading mechanism
is designed to facilitate price discovery in the presence of asymmetric information at the market open, increasing opening
price efficiency. The design of the HKEx differs significantly from opening auctions in other markets. Contrary to previous
research, the results indicate a decrease in market quality following the introduction of the opening call auction. This decline
is largest in the less actively traded stocks.
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| Keywords: | Call auction Auction design Price efficiency |
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