TY - JOUR
T1 - The impact of the closing call auction
T2 - an examination of effects in London
AU - Battig, Christopher
AU - Chelley-Steeley, Patricia L.
PY - 2010/2
Y1 - 2010/2
N2 - This article examines the impact on market quality that the introduction of a closing call auction had at the London Stock Exchange (LSE). Using the market model approach of Cohen et al. (1983a, b) OpenURL Aston University, b) we show that opening and closing market quality improved for those Financial Times and Stock Exchange 100 (FTSE 100) securities participating in the closing call. A control sample of stocks is not characterized by discernable changes to market quality.
AB - This article examines the impact on market quality that the introduction of a closing call auction had at the London Stock Exchange (LSE). Using the market model approach of Cohen et al. (1983a, b) OpenURL Aston University, b) we show that opening and closing market quality improved for those Financial Times and Stock Exchange 100 (FTSE 100) securities participating in the closing call. A control sample of stocks is not characterized by discernable changes to market quality.
UR - http://www.scopus.com/inward/record.url?scp=75949109762&partnerID=8YFLogxK
UR - http://www.tandfonline.com/10.1080/09603100903282630
U2 - 10.1080/09603100903282630
DO - 10.1080/09603100903282630
M3 - Article
SN - 0960-3107
VL - 20
SP - 303
EP - 315
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 4
ER -