The impact of the closing call auction: an examination of effects in London

Christopher Battig, Patricia L. Chelley-Steeley

Research output: Contribution to journalArticle

Abstract

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.
Original languageEnglish
Pages (from-to)303-315
Number of pages13
JournalApplied Financial Economics
Volume20
Issue number4
Early online date18 Jan 2010
DOIs
Publication statusPublished - Feb 2010

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