The Impact of the Suspension of Opening and Closing Call

Silvio John Camilleri () and Christopher J. Green

Finance from EconWPA

Abstract: The paper analyses the impact of 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. We also find that less liquid stocks traded less in the auctions than other securities, especially at the opening, and they experienced the most gains following suspension. This is consistent with there being liquidity externalities associated with auctions, a point previous noted for industrial countries. We conclude that opening and closing call auctions may not necessarily improve share trading in a less liquid emerging market.

Keywords: Call Auctions; stock markets; National Stock Exchange of India (search for similar items in EconPapers)
JEL-codes: G12 G14 G18 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2005-06-07
Note: Type of Document - pdf; pages: 38
View list of references

Downloads: (external link)
http://129.3.20.41/eps/fin/papers/0506/0506006.pdf (application/pdf)

Related works:
Working Paper: The Impact of the Suspension of Opening and Closing Call (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0506006

Access Statistics for this paper

More papers in Finance from EconWPA
Series data maintained by EconWPA ().