Call auction design and closing price manipulation: Evidence from the Hong Kong stock exchange

Seongkyu Gilbert Park, Wing Suen, Kam-Ming Wan*

*Motsvarande författare för detta arbete

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Sammanfattning

The Hong Kong Stock Exchange adopted a standard closing call auction mechanism in 2008 but suspended its operation ten months later due to suspicion of widespread price manipulation. The Exchange revamped the mechanism with manipulation-deterrence enhancements and relaunched it in 2016. We exploit this unique setting to examine the effect of call auction design on closing price manipulation. Our results indicate that the standard call auction mechanism is vulnerable to closing price manipulation. Under this mechanism, overnight price reversal is more pronounced on days when derivatives expire and on days when large orders were submitted just before the market close.

OriginalspråkEngelska
Artikelnummer100700
Referentgranskad vetenskaplig tidskriftJournal of Financial Markets
Volym58
ISSN1386-4181
DOI
StatusPublicerad - 01.03.2022
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

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  • 512 Företagsekonomi

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