The Impact of a Pre-Opening Session on Subsequent Trading: an Experimental Analysis
Rocco Caferra,
Andrea Morone and
Simone Nuzzo
MPRA Paper from University Library of Munich, Germany
Abstract:
The purpose of this paper is to examine the market structure at the opening and its influence on subsequent trading. In particular, we measure the market effciency of a pre-opening call market (CM) followed by a continuous double auction (CDA) focusing on the role of information. Aimed by Weigelt (1991), Theissen (2000) and Hinterleitner at al. (2015) we check whether the introduction of a call market leads to underreaction among agents' bids, improving market efficiency. Results evidence a positive correlation between pre-opening price and subsequent prices traded and a lower price-dividend deviation in case of high quality information.
Keywords: Experimental Asset Market; Market Efficiency; Double Auction; Clearing House; Pre-Opening (search for similar items in EconPapers)
JEL-codes: C9 (search for similar items in EconPapers)
Date: 2019-03-19
New Economics Papers: this item is included in nep-exp and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:92853
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