Does Random Auction Ending Curb Stock Price Manipulation?

Lin, Y; Michayluk, D; Zou, M

Does Random Auction Ending Curb Stock Price Manipulation?

Lin, Y Michayluk, D

Zou, M

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Publisher:: World Scientific Pub Co Pte Ltd
Publication Type:: Journal Article
Citation:: The Quarterly Journal of Finance, 2023, 13, (4)
Issue Date:: 2023

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Field	Value	Language
dc.contributor.author	Lin, Y
dc.contributor.author	Michayluk, D https://orcid.org/0000-0001-9020-0855
dc.contributor.author	Zou, M
dc.date.accessioned	2024-02-13T01:52:36Z
dc.date.available	2024-02-13T01:52:36Z
dc.date.issued	2023
dc.identifier.citation	The Quarterly Journal of Finance, 2023, 13, (4)
dc.identifier.issn	2010-1392
dc.identifier.issn	2010-1406
dc.identifier.uri	http://hdl.handle.net/10453/175634
dc.description.abstract	<jats:p> 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. </jats:p>
dc.language	en
dc.publisher	World Scientific Pub Co Pte Ltd
dc.relation.ispartof	The Quarterly Journal of Finance
dc.relation.isbasedon	10.1142/s2010139224500010
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject.classification	3502 Banking, finance and investment
dc.title	Does Random Auction Ending Curb Stock Price Manipulation?
dc.type	Journal Article
utslib.citation.volume	13
pubs.organisational-group	University of Technology Sydney
pubs.organisational-group	University of Technology Sydney/Faculty of Business
pubs.organisational-group	University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access	*
pubs.consider-herdc	true
dc.date.updated	2024-02-13T01:52:35Z
pubs.issue	4
pubs.publication-status	Published
pubs.volume	13
utslib.citation.issue	4

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.

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http://hdl.handle.net/10453/175634