Price discovery in auction markets: A look inside the black box

• 成果类型: Article
• 署名作者: Madhavan, A; Panchapagesan, V
• 署名单位: Washington University (WUSTL); University of Southern California
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/13.3.627
• 发表日期: 2000
• 页码: 627
• 关键词: TRADING MECHANISMS; stock-market; volatility; specialist; call

摘要

Opening mechanisms play a crucial role in information aggregation following the overnight nontrading period. This article examines the process of price discovery at the New York Stock Exchange single-price opening auction. We develop a theoretical model to explain the determinants of the opening price and test the model using order-level data. We show that the presence of designated dealers facilitates price discovery relative to a fully automated call auction market. This is consistent with specialists extracting information from observing the evolution of the limit order book. In addition, the specialist's opening trade reflects noninformational factors such as price stabilization requirements.