The Toronto Stock Exchange preopening session

The influence of call auction algorithm rules on market efficiency

“…Therefore, as order flow arrives near the open, strategic traders are less likely to participate, and as a result, information revelation increases, surplus volume indications are more meaningful and price discovery occurs. This result is also consistent with Davies (2003), who argues that hectic order submission during the final minutes of the price ARTICLE IN PRESS 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 14* 13* 12* 11* 10* 9* 8* 7* 6* 5* 4* 3* 2* 1* Open price* Relative cumulative net volume chanage …”

Order aggressiveness and quantity: How are they determined in a limit order market?

“…It is a 24-h a day, 7-day a week market with no specific opening and closing hours and no corresponding special procedures. This allows our analysis to cover the full trading day without having to worry about special market clearing mechanisms at the opening or closing of markets (e.g., Hamao and Hasbrouck, 1995;Davies, 2003). Consequently, we are able to more completely examine the changes in the number of traders and the level of trading activity that occurs naturally over the trading day to find out how these factors influence the prices and quantities for orders submitted by dealers.…”

Information revelation in the Greek exchange opening call: Daily and intraday evidence

“…On one hand, several studies have indicated the virtues of call auctions to reduce price volatility and to aggregate disperse information about prices (e.g., Economides and Schwartz, 1995;Domowitz and Madhavan, 2001;Hauser et al, 2012;Hillion and Suominen, 2004;Madhavan, 2000;Pagano and Schwartz, 2003;Pagano et al, 2013;Schwartz, 2001). On the other hand, there is evidence that call auction prices may be sensitive to market imbalances and information asymmetry, especially in the case of less active stocks (e.g., Abad and Pascual, 2010;Mendelson, 1987, 1991;Ellul et al, 2005;Barclay and Hendershott, 2008;Biais et al, 1999;Davies, 2003;Kehr et al, 2001;Madhavan andPanchapagesan, 2000, 2002;Stoll and Whaley, 1990).…”