Call auction, continuous trading and closing price formation

DOI10.1080/14697688.2020.1849782MaRDI QIDQ5014237zbMATH OpenOpenAlexFDO

Authors Jiayi Li, Sumei Luo, Guangyou Zhou

Publication date 1 December 2021

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2020.1849782

zbMATH Keywords

natural experimentcall auctioncontinuous tradingfinancial markets microstructure

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Financial markets (91G15)

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Cites work

• Continuous Auctions and Insider Trading
• Large Investors, Price Manipulation, and Limits to Arbitrage: An Anatomy of Market Corners*

Cited in

(4)

• Are tightened trading rules always bad? Evidence from the Chinese index futures market
• Do liquidity enhancement auctions improve the market liquidity in the JGB market?
• The effect of different market opening structures on market quality -- experimental evidence
• Short-horizon market efficiency, order imbalance, and speculative trading: evidence from the Chinese stock market

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