Opis

• Tytuł:
  INFORMATION CONTENT OF STOCKS IN CALL AUCTION OF SHORTER DURATION IN EMERGING MARKET
• Twórca:
  Bag, Dinabandhu
• Opis:
  Pre-open auctions have been widely implemented across trading exchanges. Pre-open auctions tend to reduce information asymmetry and trading risks. Call auctions have been encouraged to enhance price discovery. This paper explores the shifts in information content of the pre-market auction session over time. We derive that the information content of the pre opening auction did improve little after a gap of two months. We conclude that the intraday 15 minutes realized volatility was influenced by information content in the pre-market. We demonstrate that volatility is the cause of order imbalance or a cause of poor information content. The investigation of the related volatility in the futures segment provides interesting insights on the unusual pre-market imbalances visualized on days close to expiry of futures.
• Dostępność obiektu:
  Dostęp otwarty
• Prawa:
  Prawa autorskie (c) 2020 Copernican Journal of Finance & Accounting
• Data:
  2020.06.04
• Typ:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Język:
  angielski
• Źródło:
  Copernican Journal of Finance & Accounting; Vol. 8 No. 4 (2019); 113-132;
  Copernican Journal of Finance & Accounting; Tom 8 Nr 4 (2019); 113-132;
  2300-3065;
  2300-1240
• Format:
  application/pdf
• Wydawca:
  Uniwersytet Mikołaja Kopernika w Toruniu
• Relacja: https://apcz.umk.pl/CJFA/article/view/CJFA.2019.020/25772
• Temat i słowa kluczowe:
  auction;
  information;
  duration;
  volatility;
  G10;
  G14;
  D53
• Identyfikator: https://apcz.umk.pl/CJFA/article/view/CJFA.2019.020
• Dostawca danych:
  Akademicka Platforma Czasopism
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