| Status | 已發表Published |
| Callable Bull/Bear Contracts, Call Auction Sessions and Price Manipulations: Evidence from Hong Kong | |
Lei, C. H. ; Ma, X. ; Yick, HY
| |
| 2019-05-01 | |
| Source Publication | TFA 2019
 |
| Abstract | Call auction has been widely adopted by large exchanges as trading mechanism. The suspension of closing Call Auction Session (CAS) of Hong Kong Stock Exchange (HKEx) in 2009 and its reintroduction of an enhanced CAS model in 2016 provides us a unique experimental environment to assess the effectiveness of the two different CAS models on reducing market manipulation behavior in the same stock exchange. Via examining the probability of Mandatory Call Events (MCEs) of Callable Bull/Bear Contracts (CBBCs), abnormal returns and volumes of CBBC underlying stocks around MCEs, we find that the enhanced CAS model is more effective in reducing price manipulation. Besides, our results suggest that the introduction of enhanced CAS model can also lead to reduced price manipulation in the Pre-opening Auction Session. |
| Keyword | Closing Auction Session Callable Bull/Bear Contracts Price Reversals Manipulation |
| Language | 英語English |
| The Source to Article | PB_Publication |
| PUB ID | 46674 |
| Document Type | Conference paper |
| Collection | DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS |
| Corresponding Author | Lei, C. H. |
| Recommended Citation GB/T 7714 | Lei, C. H.,Ma, X.,Yick, HY. Callable Bull/Bear Contracts, Call Auction Sessions and Price Manipulations: Evidence from Hong Kong[C], 2019. |
| APA | Lei, C. H.., Ma, X.., & Yick, HY (2019). Callable Bull/Bear Contracts, Call Auction Sessions and Price Manipulations: Evidence from Hong Kong. TFA 2019. |
| Files in This Item: | There are no files associated with this item. | |||||
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Edit Comment