The impact of the suspension of opening and closing call auctions: Evidence from the National Stock Exchange of India

Silvio Camilleri () and Christopher Green

MPRA Paper from University Library of Munich, Germany

Abstract: We study the impact of the suspension of opening and closing call auctions by the National Stock Exchange of India in 1999. We compare volatility, efficiency and liquidity (VEL) of securities before and after suspension, and estimate the value of the auctions using an event study. Following suspension, VEL improved and the CARs were significant but not uniformly positive or negative. Also, less liquid stocks traded less in the auctions than other securities, especially at the opening, and they experienced gains following suspension. This is consistent with there being liquidity externalities associated with auctions, as appears to be the case in some industrial countries. We conclude that opening and closing call auctions may not necessarily improve share trading in a less liquid emerging market.

Keywords: Call Auctions; efficiency; event study; liquidity; stock markets; National Stock Exchange of India; volatility. (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 G18 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (10)

Published in International Journal of Banking, Accounting and Finance 1.3(2019): pp. 257-284

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Related works:
Journal Article: The impact of the suspension of opening and closing call auctions: evidence from the National Stock Exchange of India (2009)
Working Paper: The impact of the suspension of opening and closing call auctions: Evidence from the National Stock Exchange of India (2009)
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