What is it about?
The paper considers a change in the stock trading mechanism on the National Stock Exchange of India, and it asks whether such modification resulted in higher or lower volatility in the prices of the stocks traded on that exchange.
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Why is it important?
The overall evidence is counter-intuitive; whereas on theoretical grounds one may argue that call auctions may lead to lower volatility, it seems that the suspension of the call auction on the exchange resulted in overall lower volatility.
Perspectives
The main motive for investigating this issue was that in a previous paper (co-authored with Christopher J. Green) we found mixed evidence about the relationship between call auctions and stock price volatility.
Dr Silvio John Camilleri
University of Malta
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This page is a summary of: Do call auctions curtail price volatility? Evidence from the National Stock Exchange of India, Managerial Finance, January 2015, Emerald,
DOI: 10.1108/mf-10-2013-0292.
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