Work

Closing call auctions and liquidity

Year: 2005

Type: article

Abstract: The present paper examines the impact of closing call auctions on liquidity. It exploits the natural experiment offered by the introduction of a closing call auction on the Australian Stock Exchange on 10 February 1997. The introduction of the closing call auction is associated with a reduction in trading volume at the close of continuous trading. However, bid‐ask spreads during continuous trading are largely unaffected by the introduction of the closing call auction. Therefore, closing call auctions consolidate liquidity at a single point in time without having any adverse effect on the cost of trading.

Source: Accounting and Finance

DOI: 10.1111/j.1467-629x.2005.00155.x

Authors: Michael Aitken, Carole Comerton‐Forde, Alex Frino

Institutions: UNSW Sydney, RoZetta Institute, The University of Sydney

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3124093956

FWCI: 4.554

Cites: 25

Cited by: 55

Related to: 10