Closing Call Auctions at the Index Futures Market

Björn Hagströmer and Lars Nordén

Journal of Futures Markets, 2014, vol. 34, issue 4, 299-319

Abstract: We investigate the effects from the introduction of a closing call auction (CCA) at the index futures market. Limit order book models, where trader patience determines trading strategies, predict that a CCA increases trader patience and, hence, improves closing price accuracy and end‐of‐day liquidity. We find that the introduction leads to increased trader patience, improved futures closing price accuracy, unaffected tightness and resiliency, and decreased depth. Decreased depth is likely due to less order fishing activity. With the CCA, opportunistic patient traders' posting of limit orders deep in the order book, to profit from impatient traders, is no longer feasible. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:299–319, 2014

Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/

Related works:
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: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:34:y:2014:i:4:p:299-319

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().