[PDF][PDF] Call markets with adaptive clearing intervals
Trading mechanisms play a fundamental role in the health of financial markets. For example,
it is believed that continuous double auctions constitute fertile soil for predatory behaviour …
it is believed that continuous double auctions constitute fertile soil for predatory behaviour …
Call auction, continuous trading and closing price formation
J Li, S Luo, G Zhou - Quantitative Finance, 2021 - Taylor & Francis
The Shanghai Stock Exchange changed its trading mechanism of the preceding three
minutes to closing from continuous trading to call auction on August 20, 2018, while …
minutes to closing from continuous trading to call auction on August 20, 2018, while …
Effectiveness of the conditional random‐end trading mechanism on the Korea Exchange: Normal trade and Option Shock
Option Shock was a notable 2010 manipulation in Korean stock and derivatives markets.
Motivated by Option Shock, we examine the effectiveness of the conditional random‐end …
Motivated by Option Shock, we examine the effectiveness of the conditional random‐end …
Intraday analysis of regulation change in microstructure: evidence from an emerging market
E Kadioglu - International Journal of Emerging Markets, 2023 - emerald.com
Purpose This study investigates the impact of simultaneously replacing both midday single-
price call auction and lunch break with multi-price continuous trading on intraday volatility …
price call auction and lunch break with multi-price continuous trading on intraday volatility …
Optimal Trading Hours in Europe: Insights from Extended Overlaps
Abstract Daylight Saving Time shifts in North America and Europe occur on different dates,
narrowing the time gap between the openings of their equity markets and extending their …
narrowing the time gap between the openings of their equity markets and extending their …
[HTML][HTML] Relationship between the Reduction of Opening Price Auction-process Time and Effect of Price Discovery
영석박， 일찬안 - Korean Journal of Financial Studies, 2023 - e-kjfs.org
Abstract On April 29, 2019, the KOSPI market of Korea Exchange reduced the opening price
auction-process time from 1 hour (08: 00-09: 00+) to 30 minutes (08: 30-09: 00+) for the first …
auction-process time from 1 hour (08: 00-09: 00+) to 30 minutes (08: 30-09: 00+) for the first …
시가단일가매매호가접수시간단축과가격발견효과관계분석
박영석， 안일찬 - 한국증권학회지, 2023 - dbpia.co.kr
2019 년 4 월 29 일 한국거래소 유가증권시장은 20 여 년 만에 시가 단일가매매시간을 1 시간
(08: 00~ 09: 00+) 에서 30 분 (08: 30~ 09: 00+) 으로 단축하였다. 이 논문은 바로 이 제도 …
(08: 00~ 09: 00+) 에서 30 분 (08: 30~ 09: 00+) 으로 단축하였다. 이 논문은 바로 이 제도 …
Callable bull/bear contracts, call auction sessions, and price manipulations: Evidence from Hong Kong
Call auction sessions are widely adopted to improve the price discovery process. The
suspension of the closing call auction session (CAS) of the Hong Kong Stock Exchange …
suspension of the closing call auction session (CAS) of the Hong Kong Stock Exchange …
To Break or Not to Break: Evidence from Price Discovery Process of Thai Stocks During the Pre-Opening of Each Trading Session
T Likitapiwat, CC Huang, S Treepongkaruna… - Available at SSRN … - papers.ssrn.com
This paper investigates the necessity of a lunch break in stock exchanges using data from
the Stock Exchange of Thailand (SET) from 2018 to 2021. The study reveals that the price …
the Stock Exchange of Thailand (SET) from 2018 to 2021. The study reveals that the price …