Closing Call Auctions at the Index Futures Market
2014 (English)In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 34, no 4, 49 p.299-319 p.Article in journal (Refereed) Published
We investigate the effects from the introduction of a closing call auction (CCA) at the index futures market. Limit order book models, where trader patience determines trading strategies, predict that a CCA increases trader patience and, hence, improves closing price accuracy and end‐of‐day liquidity. We ﬁnd that the introduction leads to increased trader patience, improved futures closing price accuracy, unaffected tightness and resiliency, and decreased depth. Decreased depth is likely due to less order ﬁshing activity. With the CCA, opportunistic patient traders’ posting of limit orders deep in the order book, to proﬁt from impatient traders, is no longer feasible.
Place, publisher, year, edition, pages
2014. Vol. 34, no 4, 49 p.299-319 p.
Call auctions, Index futures, Trader patience, Liquidity, Price discovery
IdentifiersURN: urn:nbn:se:su:diva-62215DOI: 10.1002/fut.21603ISI: 000332139000001OAI: oai:DiVA.org:su-62215DiVA: diva2:440421