Call Auctions: A Solution to Some Difficulties in Indian Finance

Susan Thomas

Working Papers from eSocialSciences

Abstract: Call auctions represent an alternative strategy, where the order ow over a certain time period is pooled, and the market-clearing price obtained through an aggregated supply and demand curve. Call auctions trade off instantaneity of order execution in favour of elimination of impact cost, and can achieve a more trusted price. They can improve the functioning of the market on issues such as market opening, market close, extreme news events, and potentially for illiquid securities including bonds. Call auctions could usefully replace some existing market rules such as `circuit breakers'. At the same time, there are many subtle elements in making a call auction market work, which require care in market design. [Working Paper No. 2010-006].

Keywords: securities; bonds; call auctions; market; demand curve; Market microstructure; illiquid securities; circuit breakers; market; supply; clearing price (search for similar items in EconPapers)
Date: 2010-06
New Economics Papers: this item is included in nep-mst
Note: Institutional Papers
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Citations: View citations in EconPapers (4)

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Working Paper: Call auctions: A solution to some difficulties in Indian finance (2010)
Working Paper: Call auctions: A Solution to some difficulties in Indian finance (2010)
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