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

Released on by Eugene Kandel
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  • The Impact of a Closing Call Auction on Market Quality and Trading Strategies Book Detail

  • Author : Eugene Kandel
  • Release Date : 2015
  • Publisher :
  • Genre :
  • Pages : 38
  • ISBN 13 :
  • File Size : 2,2 MB
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The Impact of a Closing Call Auction on Market Quality and Trading Strategies by Eugene Kandel PDF Summary

Book Description: We study the effects of the introduction of a call auction in the closing stages of the trading day in Borsa Italiana's (BIt) equity markets. We show that the Closing Call Auction (CCA) drastically reduces spread and volatility just before the close of trading, while having a negligible effect on the rest of the day. We attribute this change in market quality to agents' reactions to the new trading opportunity offered by the CCA. We show that the introduction of a CCA significantly reduces the cost of immediacy at the end of continuous trading, and also reduces volatility. This effect is highly concentrated in the last few minutes of continuous trading, without any discernible impact on the rest of the day. To test the robustness of our findings, we compare this outcome with that of the introduction of the CCA on Euronext Paris and find similar results. The differences can be explained in the way the two exchanges calculate the Reference Price. We also document changes in the trading aggressiveness of various types of market participants around the close.

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Call Auction Trading

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This book is based on the proceedings of The Electronic Call Auction: New Answers to Old Questions, a conference hosted by the Zicklin School of Business on May

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Closing Call Auctions and Liquidity

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This paper examines the impact of closing call auctions on liquidity. It exploits the natural experiment offered by the introduction of a closing call auction o