Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Business
Call Auction Transparency And Market Liquidity: The Shanghai Experience, Dionigi Gerace, Gary G. Tian, Willa Hua-Qing Zheng
Call Auction Transparency And Market Liquidity: The Shanghai Experience, Dionigi Gerace, Gary G. Tian, Willa Hua-Qing Zheng
Faculty of Commerce - Papers (Archive)
On July 1 2006, the Shanghai Stock Exchange (SHSE) changed its pre-market openingauction system from an entirely black box into a more transparent system with indicativeauction prices, indicative equilibrium volume and indicative unexecuted volumedisseminated in real time throughout the pre-opening period. This paper use the naturalexperiment offered by SHSE to investigate the impact of opening call transparency onmarket liquidity. The dynamics of the opening process and its impact on trading activityfor the rest of the day is of interest to traders because traders can either cluster their tradesduring the non-trading period or withhold their orders until the market opens. We …