JOURNAL ARTICLE

Does Random Auction Ending Curb Stock Price Manipulation?

  • Published In: Quarterly Journal of Finance, 2023, v. 11, n. 3/4. P. 1 1 of 3

  • Database: Business Source Ultimate 2 of 3

  • Authored By: Lin, Yiping; Michayluk, David; Zou, Mi 3 of 3

Abstract

This paper examines the effect on stock market efficiency and potential market manipulation of introducing a random ending time for the call auctions that start and end continuous trading on three equity markets. We find that the probability of a price dislocation at the end of the auction declines, indicating a lower risk of market manipulation. In addition, the variance ratio and market-adjusted return volatility measures decrease, suggesting a more efficient and less volatile price discovery process. We confirm a behavioral change in order submissions by observing the timing of order entry, amendments, and deletions on one of the exchanges for which we have access to order data. Overall, our results indicate that adding a random auction ending time can reduce the risk of stock market manipulation and improve price efficiency. [ABSTRACT FROM AUTHOR]

Additional Information

  • Source:Quarterly Journal of Finance. 2023/12, Vol. 11, Issue 3/4, p1
  • Document Type:Article
  • Subject Area:Business and Management
  • Publication Date:2023
  • ISSN:2010-1392
  • DOI:10.1142/S2010139224500010
  • Accession Number:175237879
  • Copyright Statement:Copyright of Quarterly Journal of Finance is the property of World Scientific Publishing Company and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

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