Switching to a temporary call auction in times of high uncertainty

David Abad and Roberto Pascual

CNMV Working Papers from CNMV- Spanish Securities Markets Commission - Research and Statistics Department

Abstract: CONTENTS: In this paper, the properties of the switching mechanism proposed by Madhavan in 1992 are tested using data from the Spanish Stock Exchange (SSE). The SSE implements rule-based call auctions to stabilise prices. On the positive side, the authors find there is price learning during the auction. On the negative side, they conclude rule-based auctions do not calm the market and do not reduce information asymmetries, except for small caps. The findings suggest the switching mechanism performs better with thinly traded stocks.

Keywords: call auction; price learning; price reversals; price continuations; informationasymmetry; thinly-traded stocks. (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2007
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Related works:
Journal Article: SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY (2010)
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