Call auction, continuous trading and closing price formation
Author:
Affiliation:
1. School of Economics, Fudan University, Shanghai 200433, People’s Republic of China
2. School of Finance, Shanghai University of Finance and Economics, Shanghai 200433, People’s Republic of China
Funder
National Natural Science Foundation of China
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1849782
Reference62 articles.
1. A Theory of Intraday Patterns: Volume and Price Variability
2. Sunshine Trading and Financial Market Equilibrium
3. Impact of the introduction of call auction on price discovery: Evidence from the Indian stock market using high-frequency data
4. Large Investors, Price Manipulation, and Limits to Arbitrage: An Anatomy of Market Corners*
5. Trading Mechanisms and Stock Returns: An Empirical Investigation
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1. Can call auction reduce closing price manipulation in the stock market?;Asia-Pacific Journal of Accounting & Economics;2024-03-31
2. Intraday and interday features in the high-frequency data: Pre- and post-Crisis evidence in China’s stock market;Expert Systems with Applications;2022-12
3. Price discovery and gains from trade in asset markets with insider trading;The European Journal of Finance;2022-02-06
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