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A rare move: The effects of switching from a closing call auction to a continuous trading
Author(s) -
Chang YaKai,
Chou Robin K.,
Yang J. Jimmy
Publication year - 2020
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.22081
Subject(s) - closing (real estate) , volatility (finance) , business , bid price , patience , price discovery , alternative trading system , financial economics , algorithmic trading , monetary economics , economics , finance , philosophy , theology , futures contract
This study investigates the effects of switching to a closing continuous trading (CCT) on market quality, while considering the trading behaviors of different types of traders. Investors become more patient in the period preceding the last trading phase, which reduces the bid–ask spread (BAS) in that period. We find an increase in the BAS and volatility during the last trading phase, due to diminishing investor patience. Market volatility and the closing pricing errors relate positively to the trading activities of foreign institutional investors. Overall, the introduction of the CCT worsens the market quality before the closing.