The Hong Kong Stock Exchange briefly adopted call auctions as its closing mechanism. Although prices were on average more informative in a closing auction procedure than in a random closing procedure, they were more prone to manipulation attempts. We find that overnight price reversal is more pronounced on days when manipulation is likely to occur in a closing auction procedure - e.g., days when large price changes during the final 10-minute interval occur; days when sniping attacks occur; days when CBBCs expire; and days when the 24-tick rule is violated.
Keywords: Price Manipulation, Call Auction, Price Reversal, Sniping
JEL Classification: D44, G14
학회소식
[2015년 제 4차] Closing Price Manipulation in Call Auctions: Eviden
작성자 : 관리자
조회수 : 1047
게시일 :
2016-01-08
첨부파일
