The impact of the closing call auction: an examination of effects in London

Christopher Battig and Patricia Chelley-Steeley

Applied Financial Economics, 2010, vol. 20, issue 4, 303-315

Abstract: This article examines the impact on market quality that the introduction of a closing call auction had at the London Stock Exchange (LSE). Using the market model approach of Cohen et al. (1983a, b) we show that opening and closing market quality improved for those Financial Times and Stock Exchange 100 (FTSE 100) securities participating in the closing call. A control sample of stocks is not characterized by discernable changes to market quality.

Date: 2010
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DOI: 10.1080/09603100903282630

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