Market quality changes in the London Stock Market

Patricia L. Chelley-Steeley

Research output: Contribution to journalArticle

Abstract

This paper examines the impact that the introduction of a closing call auction had on market quality at the London Stock Exchange. Using estimates from the partial adjustment with noise model of Amihud and Mendelson [Amihud, Y., Mendelson, H., 1987. Trading mechanisms and stock returns: An empirical investigation. Journal of Finance 42, 533–553] we show that opening and closing market quality improved for participating stocks. When we stratify our sample securities into five groups based on trading activity we find that the least active securities experience the greatest improvements to market quality. A control sample of stocks are not characterized by discernable changes to market quality.
Original languageEnglish
Pages (from-to)2248-2253
Number of pages6
JournalJournal of Banking and Finance
Volume32
Issue number10
DOIs
Publication statusPublished - Oct 2008

Keywords

  • microstructure
  • pricing efficiency
  • market quality

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