INFORMATION CONTENT OF STOCKS IN CALL AUCTION OF SHORTER DURATION IN EMERGING MARKET
Copernican Journal of Finance & Accounting, 2019, vol. 8, issue 4, 113-132
Pre-open auctions have been widely implemented across trading exchanges. Pre-open auctions tend to reduce information asymmetry and trading risks. Call auctions have been encouraged to enhance price discovery. This paper explores the shifts in information content of the pre-market auction session over time. We derive that the information content of the pre opening auction did improve little after a gap of two months. We conclude that the intraday 15 minutes realized volatility was influenced by information content in the pre-market. We demonstrate that volatility is the cause of order imbalance or a cause of poor information content. The investigation of the related volatility in the futures segment provides interesting insights on the unusual pre-market imbalances visualized on days close to expiry of futures.
Keywords: auction; information; duration; volatility (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkcjf:v:8:y:2019:i:4:p:113-132
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