Journal of Banking & Finance Vol. 32 No. 10 2008

How does the call market method affect price efficiency? Evidence from the Singapore Stock Market

Rosita P. Chang¹; S. Ghon Rhee^2,1; Gregory R. Stone³; Ning Tang⁴

¹ University of Hawaii System · ² Sungkyunkwan University · ³ University of Nevada, Reno · ⁴ Wilfrid Laurier University

Abstract

On August 21, 2000, the Singapore Exchange (SGX) adopted the call market method to open and close the market while the remainder of the day’s trading continued to rely on the continuous auction method. The call method significantly improved the price discovery process and market quality. A positive spillover effect is observed from the opening and closing calls. Day-end price manipulation also declined after the introduction of the call market method. However, the beneficial impact from the call market method is asymmetric, benefiting liquid stocks more than illiquid stocks.

DOI

10.1016/j.jbankfin.2007.12.036

Volume

32

Issue

10

Pages

2205-2219

Language

en

Sources

crossref openalex bibtex:phds-export.bib

Cite

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