Abstract
In this article, we investigate the possibility that stock market microstructure characteristics might affect price formation and volatility in the Athens Stock Exchange (ATHEX). We conclude that alterations in the structure and the duration of the trading session do not affect volatility or increase informational efficiency. In addition, statistical evidence is provided that the continuous trading system seems more efficient than the system of trading sessions with halts.
Notes
1The significant positive return in the opening of the trading session, which is common in many studies, may be the result of information accumulation during the period when the stock market is closed (Kalve et al. Citation2004).
2The method calculating the opening price is based on call auction for the whole period and the calculation of the closing price is based on the last 10% of the transactions also for the whole period.