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

Christopher Battig; Patricia L. Chelley-Steeley

doi:10.1080/09603100903282630

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

Christopher Battig
, Patricia L. Chelley-Steeley

Accounting and Finance

EMEA Services Ltd

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

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 language	English
Pages (from-to)	303-315
Number of pages	13
Journal	Applied Financial Economics
Volume	20
Issue number	4
Early online date	18 Jan 2010
DOIs	https://doi.org/10.1080/09603100903282630
Publication status	Published - Feb 2010

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

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