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Emerging Markets Finance and Trade Volume 43, 2007 - Issue 1
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Original Article

Price-Formation Process of an Emerging Futures Market: Call Auction Versus Continuous Auction

Mei-Hsing Cheng Department of International Business, Southern Taiwan University of Technology, [email protected]
&
Hsin-Hong Kang Department of Business Administration, National Cheng Kung University, [email protected]
Pages 74-97 | Published online: 07 Dec 2014

Citations (13)

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Read on this site (8)

Jiayi Li, Sumei Luo & Guangyou Zhou. (2021) Call auction, continuous trading and closing price formation. Quantitative Finance 21:6, pages 1037-1065.
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Hasan F. Baklaci, Ömür Süer & Tezer Yelkenci. (2016) Volatility Linkages Among Gold Futures in Emerging Markets. Emerging Markets Finance and Trade 52:1, pages 1-9.
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HasanF. Baklaci, Gokce Tunc, Berna Aydogan & Gulin Vardar. (2011) The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence from the Turkish Stock Market. Emerging Markets Finance and Trade 47:6, pages 99-119.
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Onur Olgun & I.Hakan Yetkiner. (2011) Determination of Optimal Hedging Strategy for Index Futures: Evidence from Turkey. Emerging Markets Finance and Trade 47:6, pages 68-79.
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ChiaoYi Chang & FuShuen Shie. (2011) The Relation Between Relative Order Imbalance and Intraday Futures Returns: An Application of the Quantile Regression Model to Taiwan. Emerging Markets Finance and Trade 47:3, pages 69-87.
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Janchung Wang. (2010) Short Selling and Index Arbitrage Profitability: Evidence from the SGX MSCI and TAIFEX Taiwan Index Futures Markets. Emerging Markets Finance and Trade 46:5, pages 48-66.
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Yu Chuan Huang & Shu Hui Chan. (2010) Trading Behavior on Expiration Days and Quarter-End Days: The Effect of a New Closing Method. Emerging Markets Finance and Trade 46:4, pages 105-125.
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Chuang-Yuang Lin, Ruey-Shan Wu & Tsai Chen. (2010) Taiwan's Foreign Exchange Market—Volatile but Still Efficient?. Emerging Markets Finance and Trade 46:1, pages 34-41.
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Articles from other publishers (5)

Mia Twu & Jianxin Wang. (2018) Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange. Journal of Asian Economics 57, pages 53-62.
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Yigit Atilgan, K. Ozgur Demirtas & Koray D. Simsek. (2016) Derivative markets in emerging economies: A survey. International Review of Economics & Finance 42, pages 88-102.
Crossref
Matthew C. Chang & Chung-Fern Wu. (2012) Who Offers Liquidity on Options Markets when Volatility is High?. Review of Pacific Basin Financial Markets and Policies 15:04, pages 1250021.
Crossref
Weiyu Kuo & Yu-Ching Li. (2011) Trading Mechanisms and Market Quality: Call Markets versus Continuous Auction Markets. International Review of Finance 11:4, pages 417-444.
Crossref
Yigit Atilgan, K. Ozgur Demirtas & Koray D. Simsek. (2015) Derivative Markets in Emerging Economies: A Survey. SSRN Electronic Journal.
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