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

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Mostrar el registro sencillo del ítem Brusco, Sandro Manzano, Carolina Tapia Torres, Miguel Ángel 2010-03-15T11:05:09Z 2010-03-15T11:05:09Z 2003
dc.identifier.bibliographicCitation Foro de Finanzas del Nuevo Milenio, 2003, p.1-29.
dc.description XI Foro de Finanzas del Nuevo Milenio. Alicante, 13 - 14 de noviembre, 2003.
dc.description.abstract Some 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.format.mimetype application/pdf
dc.language.iso eng
dc.publisher AEFIN : Universidad de Alicante
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.title Price Discovery in the Pre-Opening Period. Theory and Evidence from the Madrid Stock Exchange
dc.type article
dc.type conferenceObject PeerReviewed
dc.description.status Publicado
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
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