On April 29, 2019, the KOSPI market of Korea Exchange reduced the opening price auction-process time from 1 hour (08:00~09:00+) to 30 minutes (08:30~09:00+) in more than 20 years. We examine whether this event was useful in improving price discovery in the market. Using the real-time indicative prices before and after the event, we particularly analyze the price-discovery effect with unbiased regression analysis and the price-discovery speed with weighted price contribution (WPC). We find the following results. First, the opening price-discovery effect after the event was at least the same as that during the second-half 30 minutes before the event, and the measure of reducing time were somewhat useful to improve market’s operational efficiency. Second, the slope of WPC inverse J-shaped pattern was much steeper after the event, implying that the speed of the opening price discovery improved too much and quickly so that about five minutes before opening was needed to get hastily adjusted. Third, the results from the analyses by liquidity level show that most of them were similar to those of the overall market analysis, but they were less effective in the
price-discovery effect and speed of the group with the lowest liquidity (Q1).

Keywords: Market Microstructure, Opening Call Auction, Regulation Change of Time Reduction, Price Discovery, Weighted Price Contribution