Abstract
This experimental study focuses on the effect of opening call auctions on market quality. Our examination extends the existing market microstructure literature in two respects. First, in addition of analyzing the market opening, we examine the effect of an opening call auction on the subsequent continuous trading phase. Second, we analyze two different kinds of call auctions with different pre-opening transparency levels. We find that an opening call auction significantly increases the informational efficiency of opening prices and leads to higher market quality of the subsequent continuous double auction market as compared to the continuous double auction alone.
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