How Does the Call Market Method Affect Price Efficiency? Evidence from the Singapore Stock Market
On August 21, 2000, the Singapore Exchange (SGX) adopted the call market method to open and close the market while the rest of the day’s 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.
Market mechanism Call method Price efficiency Price manipulation
Rosita P. Chang S. Ghon Rhee Gregory R. Stone Ning Tang
Shidler College of Business University of Hawaii 2404 Maile Way Honolulu, HI 96822-2282, USA College of Business Administration University of Nevada, Reno Mail Stop: 028, Reno, NV 89557, USA School of Business and Economics Wilfrid Laurier University Waterloo, ON, Canada, N2L 3C5
国际会议
成都
英文
1-43
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）