Closing call auctions and liquidity

Michael Aitken; Carole Comerton-Forde; Alex Frino

doi:10.1111/j.1467-629X.2005.00155.x

Closing call auctions and liquidity

Michael Aitken^*, Carole Comerton-Forde, Alex Frino

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

Abstract

The present paper examines the impact of closing call auctions on liquidity. It exploits the natural experiment offered by the introduction of a closing call auction on the Australian Stock Exchange on 10 February 1997. The introduction of the closing call auction is associated with a reduction in trading volume at the close of continuous trading. However, bid-ask spreads during continuous trading are largely unaffected by the introduction of the closing call auction. Therefore, closing call auctions consolidate liquidity at a single point in time without having any adverse effect on the cost of trading.

Original language	English
Pages (from-to)	501-518
Number of pages	18
Journal	Accounting and Finance
Volume	45
Issue number	4
DOIs	https://doi.org/10.1111/j.1467-629X.2005.00155.x
Publication status	Published - Dec 2005
Externally published	Yes

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10.1111/j.1467-629X.2005.00155.x

Cite this

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Closing call auctions and liquidity

Abstract

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