The impact of the suspension of opening and closing call auctions: evidence from the National Stock Exchange of India
by Silvio John Camilleri, Christopher J. Green
International Journal of Banking, Accounting and Finance (IJBAAF), Vol. 1, No. 3, 2009

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.

Online publication date: Sun, 25-Jan-2009

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