INFORMATION CONTENT OF STOCKS IN CALL AUCTION OF SHORTER DURATION IN EMERGING MARKET

INFORMATION CONTENT OF STOCKS IN CALL AUCTION OF SHORTER DURATION IN EMERGING MARKET

Blog Article

Pre-open auctions have been widely implemented across trading exchanges.Pre-open auctions tend to reduce information asymmetry and trading risks.Call auctions have been encouraged to enhance price discovery.

This paper explores the shifts in information content of Tinted Serum SPF the pre-market auction session over time.We derive that the information content of the pre opening auction did improve little after a gap of two months.We conclude that the intraday 15 minutes realized volatility was influenced by information Bronc Flank Strap content in the pre-market.

We demonstrate that volatility is the cause of order imbalance or a cause of poor information content.The investigation of the related volatility in the futures segment provides interesting insights on the unusual pre-market imbalances visualized on days close to expiry of futures.