Pre-open call auction and price discovery: Evidence from India

Cogent Economics & Finance

Rajesh Acharya¹  Vishal Gaikwad² 

[1] National Institute of Technology Karnataka;Symbiosis International University;

关键词: market microstructure;    call auction;    pre-open session;    price discovery;    market model;   

DOI  :  10.1080/23322039.2014.944668

来源: DOAJ

【 摘 要 】

Premier stock exchanges in India, viz. National Stock Exchange of India and Bombay Stock Exchange, introduced call auction in the pre-open session from 18 October 2010. This paper analyzes the impact of introduction of pre-open call auction on price discovery at the open. Empirical analysis is based on the familiar market model in an event study framework. The result shows a decline in the market model R2 for both opening and closing returns of stocks forming the part of call auction and also control sample. However, the magnitude of decline is less in the opening prices for the call auction stocks compared with control sample. Furthermore, analysis carried out using the second pass β and R2 regressions shows that the introduction of pre-open call auction does not have any significant impact on market quality. The findings of the study have implications for the future policy-making on the call auction framework.

【 授权许可】

Unknown