Munich Personal RePEc Archive

The Impact of a Pre-Opening Session on Subsequent Trading: an Experimental Analysis

Caferra, Rocco and Morone, Andrea and Nuzzo, Simone (2019): The Impact of a Pre-Opening Session on Subsequent Trading: an Experimental Analysis.

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Abstract

The purpose of this paper is to examine the market structure at the opening and its influence on subsequent trading. In particular, we measure the market effciency of a pre-opening call market (CM) followed by a continuous double auction (CDA) focusing on the role of information. Aimed by Weigelt (1991), Theissen (2000) and Hinterleitner at al. (2015) we check whether the introduction of a call market leads to underreaction among agents' bids, improving market efficiency. Results evidence a positive correlation between pre-opening price and subsequent prices traded and a lower price-dividend deviation in case of high quality information.

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