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https://www.um.edu.mt/library/oar/handle/123456789/23363| Title: | The impact of the suspension of opening and closing call auctions : evidence from the National Stock Exchange of India |
| Authors: | Camilleri, Silvio John Green, Christopher J. |
| Keywords: | Stock exchanges -- India National Stock Exchange of India (NSE) Stock index futures -- India Liquidity (Economics) Stocks -- Prices |
| Issue Date: | 2009 |
| Publisher: | Inderscience Publishers |
| Citation: | Camilleri, S. J., & Green, C. J. (2009). The impact of the suspension of opening and closing call auctions: Evidence from the National Stock Exchange of India. International Journal of Banking, Accounting and Finance, 1(3), 257-284. |
| Abstract: | We study the impact of the suspension of opening and closing call auctions by the National Stock Exchange of India in 1999. We compare volatility, efficiency and liquidity (VEL) of securities before and after suspension, and estimate the value of the auctions using an event study. Following suspension, VEL improved and the CARs were significant but not uniformly positive or negative. Also, less liquid stocks traded less in the auctions than other securities, especially at the opening, and they experienced gains following suspension. This is consistent with there being liquidity externalities associated with auctions, as appears to be the case in some industrial countries. We conclude that opening and closing call auctions may not necessarily improve share trading in a less liquid emerging market. |
| URI: | https://www.um.edu.mt/library/oar//handle/123456789/23363 |
| Appears in Collections: | Scholarly Works - FacEMABF |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Published Version - Unformatted.pdf | Main article | 1.07 MB | Adobe PDF | View/Open |
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