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The effect of different market opening structures on market quality – experimental evidence

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Operations Research Proceedings 2011

Part of the book series: Operations Research Proceedings ((ORP))

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Abstract

This experimental study focuses on the effect of opening call auctions on market quality. Our examination extends the existing market microstructure literature in two respects. First, in addition of analyzing the market opening, we examine the effect of an opening call auction on the subsequent continuous trading phase. Second, we analyze two different kinds of call auctions with different pre-opening transparency levels. We find that an opening call auction significantly increases the informational efficiency of opening prices and leads to higher market quality of the subsequent continuous double auction market as compared to the continuous double auction alone.

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Author information

Authors and Affiliations

  1. Institute of Statistics and Operations Research, Karl-Franzens-University Graz, Graz, Austria

    Gernot Hinterleitner, Philipp Hornung & Ulrike Leopold-Wildburger

  2. Institute of Banking and Finance, Karl-Franzens-University Graz, Graz, Austria

    Roland Mestel & Stefan Palan

Authors
  1. Gernot Hinterleitner
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  2. Philipp Hornung
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  3. Ulrike Leopold-Wildburger
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  4. Roland Mestel
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  5. Stefan Palan
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Corresponding author

Correspondence to Gernot Hinterleitner .

Editor information

Editors and Affiliations

  1. Institut für, Betriebswirtschaftslehre, Universität Zürich, Moussonstrasse, Zurich, 8044, Switzerland

    Diethard Klatte

  2. Inst. Operations Research, ETH Zürich, Rämistr. 101, Zürich, 8092, Switzerland

    Hans-Jakob Lüthi

  3. Institut für, Betriebswirtschaftslehre, Universität Zürich, Moussonstrasse 15, Zurich, 8044, Switzerland

    Karl Schmedders

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© 2012 Springer-Verlag Berlin Heidelberg

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Hinterleitner, G., Hornung, P., Leopold-Wildburger, U., Mestel, R., Palan, S. (2012). The effect of different market opening structures on market quality – experimental evidence. In: Klatte, D., Lüthi, HJ., Schmedders, K. (eds) Operations Research Proceedings 2011. Operations Research Proceedings. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-29210-1_29

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