Title: The impact of the suspension of opening and closing call auctions: evidence from the National Stock Exchange of India

Authors: Silvio John Camilleri, Christopher J. Green

Addresses: Banking and Finance Department, University of Malta, Msida MSD 2080, Malta. ' Department of Economics, Loughborough University, Loughborough, Leicestershire, LE11 3TU, UK

Abstract: We study the suspension of opening and closing call auctions by the National Stock Exchange of India in 1999. We compare volatility, efficiency and liquidity (VEL) of securities before and after suspension and estimate the value of the auctions using an event study. Following suspension, VEL improved and the CARs were significant but not uniformly positive or negative. Less liquid stocks traded less in the auctions than other securities, especially at the opening and they experienced an increase in value following suspension. This is consistent with there being liquidity externalities associated with auctions. We conclude that opening and closing call auctions may not necessarily improve share trading in a less liquid emerging market.

Keywords: call auctions; stock exchanges; National Stock Exchange of India; NSE; securities volatility; securities efficiency; securities liquidity; call auction suspension; share trading.

DOI: 10.1504/IJBAAF.2009.022716

International Journal of Banking, Accounting and Finance, 2009 Vol.1 No.3, pp.257 - 284

Published online: 25 Jan 2009 *

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