How does the call market method affect price efficiency? Evidence from the Singapore Stock Market

被引：38

作者：

Chang, Rosita P. ^{[2
]}

Rhee, S. Ghon ^{[2
,3
]}

Stone, Gregory R. ^{[4
]}

Tang, Ning ^{[1
]}

机构：

[1] Wilfrid Laurier Univ, Sch Business & Econ, Waterloo, ON N2L 3C5, Canada

[2] Univ Hawaii, Shidlre Coll Business, Honolulu, HI 96822 USA

[3] Sungkyunkwan Univ, Sch Business, Seoul, South Korea

[4] Univ Nevada, Coll Business Adm, Reno, NV 89557 USA

来源：

JOURNAL OF BANKING & FINANCE | 2008年 / 32卷 / 10期

关键词：

Market mechanism; Call method; Price efficiency; Trading noise; Return reversals; Price manipulation; Singapore Exchange;

D O I：

10.1016/j.jbankfin.2007.12.036

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

On August 21, 2000, the Singapore Exchange (SGX) adopted the call market method to open and close the market while the remainder of the day's trading continued to rely on the continuous auction method. The call method significantly improved the price discovery process and market quality. A positive spillover effect is observed from the opening and closing calls. Day-end price manipulation also declined after the introduction of the call market method. However, the beneficial impact from the call market method is asymmetric, benefiting liquid stocks more than illiquid stocks. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：2205 / 2219

页数：15

共 50 条

[1] Does stock market liberalization improve stock price efficiency? Evidence from China
Chen, Yunsen
Huang, Jianqiao
Li, Xiao
Yuan, Qingbo
[J]. JOURNAL OF BUSINESS FINANCE & ACCOUNTING, 2022, 49 (7-8) : 1175 - 1210
[2] How does electronic trading affect efficiency of stock market and conditional volatility? Evidence from Toronto Stock Exchange
Dutta, Shantanu
Essaddam, Naceur
Kumar, Vinod
Saadi, Samir
[J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2017, 39 : 867 - 877
[3] How does air pollution affect the stock market performance? Evidence from China
He, Zizhao
Zhao, Yuhuan
Zheng, Lu
[J]. ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH, 2023, 30 (27) : 70636 - 70648
[4] How Does Google Search Affect the Stock Market? Evidence from Indian Companies
Aziz, Tariq
Ansari, Valeed Ahmad
[J]. VISION-THE JOURNAL OF BUSINESS PERSPECTIVE, 2021, 25 (02) : 224 - 232
[5] How does air pollution affect the stock market performance? Evidence from China
Zizhao He
Yuhuan Zhao
Lu Zheng
[J]. Environmental Science and Pollution Research, 2023, 30 : 70636 - 70648
[6] Does Online Investor Sentiment Affect the Asset Price Movement? Evidence from the Chinese Stock Market
Xie, Chi
Wang, Yuanxia
[J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2017, 2017
[7] How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data
Zouaoui, Mohamed
Nouyrigat, Genevieve
Beer, Francisca
[J]. FINANCIAL REVIEW, 2011, 46 (04) : 723 - 747
[8] How does the cryptocurrency market affect the stock market performance in the MENA region?
Sami, Mina
Abdallah, Wael
[J]. JOURNAL OF ECONOMIC AND ADMINISTRATIVE SCIENCES, 2021, 37 (04) : 741 - 753
[9] Does market timing persistently affect capital structure? Evidence from stock market liberalization
Huang, I-Hsiang
[J]. PACIFIC-BASIN FINANCE JOURNAL, 2014, 26 : 123 - 144
[10] Market Efficiency in Emerging Stock Market: Evidence from Bangladesh
Mobarek, Asma
Mollah, A. Sabur
Bhuyan, Rafiqul
[J]. JOURNAL OF EMERGING MARKET FINANCE, 2008, 7 (01) : 17 - 41

← 1 2 3 4 5 →