A Good Beginning Makes a Good Market: The Effect of Different Market Opening Structures on Market Quality

Autor: Gernot Hinterleitner, Ulrike Leopold-Wildburger, Roland Mestel, Stefan Palan
Jazyk: angličtina
Rok vydání: 2015
Předmět:
Zdroj: The Scientific World Journal, Vol 2015 (2015)
Druh dokumentu: article
ISSN: 2356-6140
1537-744X
DOI: 10.1155/2015/307808
Popis: This paper deals with the market structure at the opening of the trading day and its influence on subsequent trading. We compare a single continuous double auction and two complement markets with different call auction designs as opening mechanisms in a unified experimental framework. The call auctions differ with respect to their levels of transparency. We find that a call auction not only improves market efficiency and liquidity at the beginning of the trading day when compared to the stand-alone continuous double auction, but also causes positive spillover effects on subsequent trading. Concerning the design of the opening call auction, we find no significant differences between the transparent and nontransparent specification with respect to opening prices and liquidity. In the course of subsequent continuous trading, however, market quality is slightly higher after a nontransparent call auction.
Databáze: Directory of Open Access Journals
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