Price Discovery in the Greek Preopening
SSRN Electronic Journal(2013)
摘要
In this paper the role of the preopening period in the price discovery process is analyzed, using for the first time a set of continuous intra-daily transactions, orders and quotes data from the Athens Stock Exchange, for a sample of 20 actively traded stocks making up the FTSE/ASE-20 index. The information content of the opening price and indicative clearing prices is explored by means of predictive regressions (Biais et al., 1999). Results show that: a) opening price is an unbiased predictor of fair value, b) indicative prices computed over all forms of orders follow a U-shaped process towards the latter, revealing an informational deterioration in the mid-preopening, c) limit clearing prices computed solely over limit orders predict fair value better than indicative prices, indicating a higher informational content of limit orders (Madhavan and Panchapagan, 2000). EFM classification: 360, JEL classification: G14
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关键词
price discovery,market microstructure
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