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
Date Written: december 20, 2019
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: Suggested Citation