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Price Discovery in the Pre-Opening Period. Theory and Evidence from the Madrid Stock Exchange

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorBrusco, Sandro
dc.contributor.authorManzano, Carolina
dc.contributor.authorTapia, Mikel
dc.date.accessioned2010-03-15T11:05:09Z
dc.date.available2010-03-15T11:05:09Z
dc.date.issued2003
dc.descriptionXI Foro de Finanzas del Nuevo Milenio. Alicante, 13 - 14 de noviembre, 2003.
dc.description.abstractSome stock exchanges, such as the Spanish Stock Exchange and Euronext (Paris), allow traders to place orders in a `pre-opening' period. Orders placed in this period are used to determine the opening price, and can be cancelled at any moment and at no cost by the traders. We consider a model in which noise traders can appear in the market before or after the opening, and a strategic informed trader decides her order strategy at the preopening and at the opening period. We characterize the equilibrium of such a model, showing that at the pre-opening there is a non-monotonic relation between the aggregate quantity ordered and prices. Thus, the equilibrium at the preopening stage is determined in a way which is fundamentally diferent from the equilibrium in the open market. We proceed to study the implications of the existence of a pre-opening period on information revelation and on the determination of the opening price. We present evidence from the Spanish Stock Exchange that seem to support the theoretical predictions, showing a clear diference in behavior between the market behavior before and after the opening of the market.
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationForo de Finanzas del Nuevo Milenio, 2003, p.1-29.
dc.identifier.urihttp://hdl.handle.net/10016/7332
dc.language.isoeng
dc.publisherAEFIN : Universidad de Alicante
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.titlePrice Discovery in the Pre-Opening Period. Theory and Evidence from the Madrid Stock Exchange
dc.typeconference output*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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