Journal article
Not all call auctions are created equal: Evidence from Hong Kong
C Comerton-Forde, J Rydge, H Burridge
Review of Quantitative Finance and Accounting | SPRINGER | Published : 2007
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. © 2007 Springer Science+Business Media, LLC.
Grants
Awarded by Australian Research Council
Funding Acknowledgements
The authors thank two anonymous referees for helpful comments and suggestions. The authors thank the Australian Stock Exchange, Securities Industry Research Centre of Asia-Pacific (SIRCA) and the Australian Research Council (ARC Linkage Project LP0455536) for funding. The authors also thank the SIRCA and Reuters for providing access to the data used in this study.