Abstract / Description of output
We model 73.62 million London Stock Exchange (LSE) trades and show that the LSE’s high rate of failure to open at the opening auction only relates to low volume stocks. Low volume stock traders avoid trading until the open; this seems connected to their evading the informed trading-dominated opening auction. For the largest volume stocks, the opening auction provides highly efficient opening prices, while the lower volume stocks attain similar levels of price efficiency only after the start of normal trading hours (NTH). At the close however, all stocks only lose small fractions of informational efficiency achieved during the NTH.
| Original language | English |
|---|---|
| Pages (from-to) | 208-227 |
| Number of pages | 20 |
| Journal | Journal of International Financial Markets, Institutions and Money |
| Volume | 34 |
| Early online date | 4 Dec 2014 |
| DOIs | |
| Publication status | Published - Jan 2015 |
Keywords / Materials (for Non-textual outputs)
- price efficiency
- price discovery
- trading activity
- call auction
- London Stock Exchange
Fingerprint
Dive into the research topics of 'Opening and Closing Price Efficiency: Do Financial Markets need the Call Auction?'. Together they form a unique fingerprint.Profiles
-
Gbenga Ibikunle
- Business School - Personal Chair of Finance
- Accounting and Finance
- Centre for Business, Climate Change and Sustainability
- Edinburgh Futures Institute
- Climate Change and Sustainability
- Edinburgh Centre for Financial Innovations
Person: Academic: Research Active