The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension

Silvio Camilleri ()

MPRA Paper from University Library of Munich, Germany

Abstract: The purpose of this paper is to investigate the volatility impacts of the suspension of a call auction system by the National Stock Exchange of India (NSE) in June 1999, thus extending prior empirical work relating to this area. The realised volatility on NSE is compared with that of the Bombay Stock Exchange using two volatility proxies: modulus of log returns and scaled intra-day price difference. We also focus on conditional volatility by estimating an AGARCH model on seasonally-adjusted NSE Nifty Index data. Whilst some results yield contrasting inferences, the overall outcomes indicate that volatility was higher during the auction period, and we do not find any evidence that supports the foreseen benefits of auction frameworks. Results reinforce the idea that market designers should think about the possible interactions with subsidiary market microstructure features when formulating auction protocols, since the latter may compromise auction efficacy.

Keywords: Call Auctions; National Stock Exchange of India; Seasonality; Stock Markets; Volatility (search for similar items in EconPapers)
JEL-codes: G12 G18 (search for similar items in EconPapers)
Date: 2015, Revised 2015
New Economics Papers: this item is included in nep-fmk
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Published in International Journal of Financial Research 6.2(2015): pp. 44-53

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Journal Article: The Impact of Stock Market Structure on Volatility: Evidence from a Call Auction Suspension (2015)
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