scholarly journals Call auction, continuous trading and closing price formation

2021 ◽  
pp. 1-29
Author(s):  
Jiayi Li ◽  
Sumei Luo ◽  
Guangyou Zhou
Keyword(s):  
Price Formation ◽  
Closing Price ◽  
Call Auction ◽  
Continuous Trading

Intraday analysis of regulation change in microstructure: evidence from an emerging market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Eyup Kadioglu
Keyword(s):  
Trading Volume ◽  
Emerging Market ◽  
Lunch Break ◽  
Content Type ◽  
Call Auction ◽  
Regulation Change ◽  
Intraday Volatility ◽  
Continuous Trading ◽  
The Impact ◽  
Mixture Of Distribution Hypothesis

PurposeThis study investigates the impact of simultaneously replacing both midday single-price call auction and lunch break with multi-price continuous trading on intraday volatility–volume patterns as well as the intraday volatility–volume nexus.Design/methodology/approachThe analysis utilises 150 m tick-by-tick transaction data related to 333 stocks traded on Borsa Istanbul Equity Market covering a period of 2 months prior to and following the change. In addition to graphic comparisons, the study uses difference in mean tests, panel-fixed generalized least squares (GLS), panel-random GLS and random-effects linear models with AR(1) disturbance regression estimations.FindingsThe results show that intraday volatility and trading volume form an inverse J-shape and are positively correlated. It is observed that the implementation of the regulation change decreased intraday volatility and increased trading volume. Additionally, the results indicate a negative volatility–liquidity and a positive volume–liquidity relationship, supporting the mixture of distribution hypothesis.Research limitations/implicationsEnhanced market efficiency provides greater opportunity for investment and risk management. Investors can benefit from the findings on the intraday volatility–volume nexus, which is an indicator of informed trading, and regulatory authorities can use volume to oversight volatility.Originality/valueThis very rare regulation change of the simultaneous replacement of the lunch break and midday call auction with continuous trading is investigated in the context of intraday volume and volatility. This study also expands upon some important findings on the volume–volatility nexus for the Turkish Stock Market.

scholarly journals Using Statistical Model to Study the Daily Closing Price Index in the Kingdom of Saudi Arabia (KSA)

Complexity ◽  
2021 ◽  
Vol 2021 ◽  
pp. 1-5
Author(s):  
Hassan M. Aljohani ◽  
Azhari A. Elhag
Keyword(s):  
Saudi Arabia ◽  
Mixture Model ◽  
Price Index ◽  
Gaussian Mixture ◽  
Kingdom Of Saudi Arabia ◽  
Equal Variance ◽  
Closing Price ◽  
Trading Period ◽  
Data Source ◽  
Continuous Trading

Classification in statistics is usually used to solve the problems of identifying to which set of categories, such as subpopulations, new observation belongs, based on a training set of data containing information (or instances) whose category membership is known. The article aims to use the Gaussian Mixture Model to model the daily closing price index over the period of 1/1/2013 to 16/8/2020 in the Kingdom of Saudi Arabia. The daily closing price index over the period declined, which might be the effect of corona virus, and the mean of the study period is about 7866.965. The closing price is the last regular deal that took place during the continuous trading period. If there are no transactions on the stock during the day, the closing price is the previous day’s closing price. The closing auction period comes after the continuous trading period (from 3 : 00 PM to 3 : 10 PM), during which investors can enter by buying and selling the stocks at this period. The experimental results show that the best mixture model is E (equal variance) with three components according to the BIC criterion. The expectation-maximization (EM) algorithm converged in 2 repetitions. The data source is from Tadawul KSA.

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.

A rare move: The effects of switching from a closing call auction to a continuous trading

2019 ◽  
Vol 40 (3) ◽  
pp. 308-328 ◽  
Author(s):  
Ya‐Kai Chang ◽  
Robin K. Chou ◽  
J. Jimmy Yang
Keyword(s):  
Call Auction ◽  
Continuous Trading

Is a Stock Exchange a Computer Solution?

2011 ◽  
Vol 3 (1) ◽  
pp. 1-15 ◽  
Author(s):  
Fabian Muniesa
Keyword(s):  
Financial Markets ◽  
North American ◽  
Stock Exchange ◽  
Single Point ◽  
Price Formation ◽  
Computer Solution ◽  
Call Auction ◽  
Definition Of

The paper examines, through a case study on the Arizona Stock Exchange, how computerization challenged the definition of the stock exchange in the context of North-American financial markets in the 1990’s. It analyses exchange automation in terms of trials of explicitness: the computational formulation of what an exchange is calls for a detailed explication of the (variable, often conflicting and unanticipated) processes and properties of price formation. The paper focuses in particular on the argument of the concentration of liquidity in one single point, which was central to the development of the Arizona Stock Exchange (an electronic call auction). It then asks what kind of revolution is the ‘explicitness revolution’ in the design of allocation mechanisms.

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