Trading Mechanisms and Pricing Error: Evidence from Tehran Stock Exchange

Autor:	Ali Abrahimnejad, Saman Haghighi
Jazyk:	perština
Rok vydání:	2016
Předmět:	call auction continuous trading market microstructure pricing error trading mechanisms Finance HG1-9999
Zdroj:	تحقیقات مالی, Vol 18, Iss 2, Pp 219-234 (2016)
Druh dokumentu:	article
ISSN:	1024-8153 2423-5377
DOI:	10.22059/jfr.2016.61589
Popis:	We study the effect of trading mechanisms of call auctions and continuous trading on pricing errors using data from Tehran Stock Exchange. Consistent with findings from New York Stock Exchange (Amihud and Mendelson, 1987, Stoll and Whaley, 1990), we find that pricing errors are larger at market open (which uses call auction) than market close (which is continuous trading). We investigate competing explanations for our empirical finding, and find evidence consistent with Brock and Kleidon (1992) argument that larger pricing errors at market open stem from information accumulation and lack of trading overnight, combined with inelastic demand curve for stocks.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/1a1f7d8ca2fd40b3990b5ba5b5ea3d1f Zobrazit plný text záznamu View record in DOAJ