Closing Call Auctions and Liquidity

18 Pages Posted: 3 Jan 2006

See all articles by Alex Frino

Alex Frino

The University of Sydney - Discipline of Finance; Financial Research Network (FIRN)

Michael J. Aitken

Macquarie Graduate School of Management

Carole Comerton-Forde

UNSW Business School; Financial Research Network (FIRN)

Multiple version iconThere are 2 versions of this paper

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.

Keywords: Call auctions, Liquidity, Market microstructure

JEL Classification: G14, G15

Suggested Citation

Frino, Alex and Aitken, Michael J. and Comerton-Forde, Carole, Closing Call Auctions and Liquidity. Accounting and Finance, Vol. 45, No. 4, pp. 501-518, December 2005. Available at SSRN: https://ssrn.com/abstract=867117 or http://dx.doi.org/10.1111/j.1467-629X.2005.00155.x

Alex Frino

The University of Sydney - Discipline of Finance ( email )

Futures Research Centre
P.O. Box H58
Sydney NSW
Australia
+61 2 9299 1809 (Phone)
+61 2 9299 1830 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Michael J. Aitken (Contact Author)

Macquarie Graduate School of Management ( email )

North Ryde
Sydney, New South Wales 2109
Australia

Carole Comerton-Forde

UNSW Business School ( email )

UNSW Business School
High St
Sydney, NSW 2052
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
32
Abstract Views
1,485
PlumX Metrics