Price-Formation Process of an Emerging Futures Market: Call Auction Versus Continuous Auction-Reference-Cited by-同舟云学术

Price-Formation Process of an Emerging Futures Market: Call Auction Versus Continuous Auction

Published:2007-02 Issue:1 Volume:43 Page:74-97
ISSN:1540-496X
Container-title:Emerging Markets Finance and Trade
language:en
Short-container-title:Emerging Markets Finance and Trade

Author:

Cheng Mei-Hsing¹,Kang Hsin-Hong²

Affiliation:

1. a Department of International Business, Southern Taiwan University of Technology, daphne@mail.stut.edu.tw

2. b Department of Business Administration, National Cheng Kung University, hhkang@mail.ncku.edu.tw

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.2753/REE1540-496X430104

Reference34 articles.

1. Amihud, Y., and H. Mendelson. 1986. "Asset Pricing and the Bid-Ask Spread." Journal of Financial Economics17, no. 2: 223-249.

2. Amihud, Y., and H. Mendelson. 1987. "Trading Mechanisms and Stock Returns: An Empirical Investigation." Journal of Finance42, no. 3: 533-553.

3. Amihud, Y., and H. Mendelson. 1988. "Liquidity, Volatility, and Exchange Automation." Journal of Accounting, Auditing and Finance3, no. 4: 369-395.

4. Amihud, Y., and H. Mendelson. 1991. "Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market." Journal of Finance46, no. 5: 1765-1789.

5. Amihud, Y.; H. Mendelson; and B. Lauterbach. 1997. "Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange." Journal of Financial Economics45, no. 3: 365-390.

Cited by 16 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Capacity limitation based local flexibility market for congestion management in distribution networks: Design and challenges;International Journal of Electrical Power & Energy Systems;2024-02

2. Call auction, continuous trading and closing price formation;Quantitative Finance;2021-02-02

3. Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange;Journal of Asian Economics;2018-08

4. Derivative markets in emerging economies: A survey;International Review of Economics & Finance;2016-03

5. Volatility Linkages Among Gold Futures in Emerging Markets;Emerging Markets Finance and Trade;2015-08-14