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dc.contributor.authorCamilleri, Silvio John
dc.identifier.citationCamilleri, S. J. (2015). The impact of stock market structure on volatility: evidence from a call auction suspension. International Journal of Financial Research, 6(2), 44-53.en_GB
dc.description.abstractThe purpose of this paper is to investigate the volatility impacts of the suspension of a call auction system by the National Stock Exchange of India (NSE) in June 1999, thus extending prior empirical work relating to this area. The realised volatility on NSE is compared with that of the Bombay Stock Exchange using two volatility proxies: modulus of log returns and scaled intra-day price difference. We also focus on conditional volatility by estimating an AGARCH model on seasonally-adjusted NSE Nifty Index data. Whilst some results yield contrasting inferences, the overall outcomes indicate that volatility was higher during the auction period, and we do not find any evidence that supports the foreseen benefits of auction frameworks. Results reinforce the idea that market designers should think about the possible interactions with subsidiary market microstructure features when formulating auction protocols, since the latter may compromise auction efficacy.en_GB
dc.publisherSciedu Pressen_GB
dc.subjectStock exchangesen_GB
dc.subjectNational Stock Exchange of India (NSE)en_GB
dc.subjectStocks -- Pricesen_GB
dc.subjectOptions (Finance)en_GB
dc.titleThe impact of stock market structure on volatility : evidence from a call auction suspensionen_GB
dc.rights.holderThe copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder.en_GB
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