A closing call's impact on market quality at Euronext Paris

• 成果类型: Article
• 署名作者: Pagano, MS; Schwartz, RA
• 署名单位: City University of New York (CUNY) System; Baruch College (CUNY); Villanova University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00073-4
• 发表日期: 2003
• 页码: 439-484
• 关键词: Market microstructure; financial markets; market efficiency; empirical analysis; International

摘要

The Paris Bourse (currently Euronext Paris) refined its trading system to include electronic call auctions at market closings in 1996 for its less-liquid Continuous B stocks and in 1998 for its more actively traded Continuous A stocks. This paper analyzes the effects of the innovation on market quality. Our empirical analysis of price behavior for two samples of firms (50 B stocks and 50 A stocks) for two different calendar dates (1996 and 1998) indicates that introduction of the closing calls has lowered execution costs for individual participants and sharpened price discovery for the broad market. We further observe that market quality is improved at market openings, albeit to a lesser extent. We suggest that a positive spillover effect explains the closing call's more pervasive impact. (C) 2003 Elsevier Science B.V. All rights reserved.