文章基本信息

标题：Trading Mechanisms and Pricing Error: Evidence from Tehran Stock Exchange
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作者：Ali ebrahimnejad ; saman haghighi
期刊名称：Financial Research
印刷版ISSN：1024-8153
电子版ISSN：2423-5377
出版年度：2016
卷号：18
期号：2
页码：219-234
出版社：University of Tehran Electronic Journals Database
摘要：We study the effect of trading mechanisms of call auctions and continuous trading on pricing errors using data from Tehran Stock Exchange. Consistent with findings from New York Stock Exchange (Amihud and Mendelson, 1987, Stoll and Whaley, 1990), we find that pricing errors are larger at market open (which uses call auction) than market close (which is continuous trading). We investigate competing explanations for our empirical finding, and find evidence consistent with Brock and Kleidon (1992) argument that larger pricing errors at market open stem from information accumulation and lack of trading overnight, combined with inelastic demand curve for stocks.
关键词：Keywords: Call auction;Continuous trading;Market Microstructure;Pricing error;Trading mechanisms