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- Title
Closing call auctions and liquidity.
- Authors
Aitken, Michael; Comerton-Forde, Carole; Frino, Alex
- 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.
- Subjects
AUSTRALIA; AUCTIONS; LIQUIDITY (Economics); STOCK exchanges; SECURITIES trading; TENDER offers
- Publication
Accounting & Finance, 2005, Vol 45, Issue 4, p501
- ISSN
0810-5391
- Publication type
Article
- DOI
10.1111/j.1467-629X.2005.00155.x