How Does the Call Market Method Affect Price Efficiency? Evidence from the Singapore Stock Market

摘要：

On August 21, 2000, the Singapore Exchange (SGX) adopted the call market method to open and close the market while the rest of the days trading continued to use the continuous auction method. We examine the effects of opening and closing calls on price efficiency, market quality, and day-end price manipulation. We find that the call method significantly improves the price discovery process for liquid stocks, whereas illiquid stocks benefit substantially less, a finding which contrasts sharply with conventional wisdom. Day-end price manipulation declined after the introduction of the call market method for liquid stocks but not for illiquid stocks. Hence, market design calls for a differential treatment of illiquid stocks.

关键词： Market mechanism Call method Price efficiency Price manipulation

作者: Rosita P.Chang S.Ghon Rhee Gregory R.Stone Ning Tang

作者单位: Shidler College of Business University of Hawaii 2404 Maile Way Honolulu College of Business Administration University of Nevada,Reno School of Business and Economics Wilfrid Laurier University Waterloo,ON,Canada,N2L 3C5

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）