Information Content of Stocks in Call Auction of Shorter Duration in Emerging Market

Copernican Journal of Finance & Accounting, 2019, volume 8, issue 4

20 Pages Posted: 19 Apr 2021

See all articles by Dinabandhu Bag

Dinabandhu Bag

National Institute of Technology, Rourkela - School of Management

Date Written: december 20, 2019

Abstract

Pre-open auctions have been widely implemented across trading exchanges. Pre-open auctions tend to reduce information asymmetry and trading risks. Call auctions have been encouraged to enhance price discovery. This paper explores the shifts in information content of the pre-market auction session over time. We derive that the information content of the pre opening auction did improve little after a gap of two months. We conclude that the intraday 15 minutes realized volatility was influenced by information content in the pre-market. We demonstrate that volatility is the cause of order imbalance or a cause of poor information content. The investigation of the related volatility in the futures segment provides interesting insights on the unusual pre-market imbalances visualized on days close to expiry of futures.

Keywords: information, auction, volatility, stock

JEL Classification: G10, G14, D53, G14

Suggested Citation

Bag, Dinabandhu, Information Content of Stocks in Call Auction of Shorter Duration in Emerging Market (december 20, 2019). Copernican Journal of Finance & Accounting, 2019, volume 8, issue 4, Available at SSRN: https://ssrn.com/abstract=3820756

Dinabandhu Bag (Contact Author)

National Institute of Technology, Rourkela - School of Management ( email )

India

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